VIX spot is up to 16.50 today, its highest level since July 3rd. Even though the SPX index is down 75 points from its August 2nd high, the VIX is still at 16.50. It’s quite rare to see that lack of a bid for options after a nearly 5% selloff in the SPX index.
Given the large move in the VIX today, I wanted to take another snapshot of the VIX futures compared to last Friday.
Here is last week’s snapshot (8/23/13):
Compare that to today’s snapshot:
Sept13 to Jan14 are all up more than 1 full point since Friday, quite a move in just 2 trading days this week. The SPX index has certainly gotten more volatile in the past 10 days, as 10 day realized volatility is now at its highest point since early July, above 12:
While Labor Day on Monday would normally be a vol dampening holiday, next week has a very busy economic calendar, with heightened focus given that Fed governors have specifically cited the need to see more data ahead of its tapering / no tapering decision on September 18th. We initiated a VIX trade last week with that Fed meeting in mind, and we continue to hold that position for now.