The SPX index had traded in basically a 25 point range for the second half of July, and realized volatility grinded to a halt. Yesterday’s breakout has changed that picture:
VIX Futures have also made a new low in the past 2 days on the breakout higher, though VIX spot has remained above 12, a level it has closed under only 4 times all year.
Here is last week’s snapshot:
Compare that to today’s snapshot:
Once again, the re-pricing lower in VIX Futures is not just in the front month. Aug, Sept, and Oct futures are all down more than 1 point, and even Mar14 and Apr14 Futures are down around 1 point as well.
Given that 30 day realized volatility in the SPX index is down to 9, it will likely take a sustained bout of volatility to get the VIX to move back above 15 in the coming weeks.