The SPX index is up about 0.3% this week, after last week’s 2% loss, and VIX futures are broadly lower as a result.
Here is last week’s snapshot:
Compare that to today’s snapshot:
Each futures contract from Sept13 to Apr14 is down between 0.25 and 0.75 point, a relatively modest move for the entire VIX curve, but also reflective of the fact that the SPX index had a very tight range the entire week (less than 25 points).
We initiated a new trade in Sept VIX yesterday. With the market’s keen focus on the September FOMC meeting, the movement of the VIX over the next few weeks should be more interesting than usual. The next big macro week will be the first week of September (following the Labor Day holiday), when we will get the ISM and Payrolls releases.