$VIX Futures Snapshot – Syria Headlines and Fed

by CC September 6, 2013 12:25 pm • Commentary

The VIX has been all over the place today as the market opened higher, sold off hard on the combination of technical resistance combined with Syria/Russia headlines only to quickly find buyers and be back up near its highs of the day.

Given the large swings in the VIX today, let’s take another look at the VIX futures compared to last week.

Here is last week’s snapshot (8/27/13):

VIX Futures Snapshot 082713, Courtesy of Bloomberg
VIX Futures Snapshot 082713, Courtesy of Bloomberg

Compare that to today’s snapshot:


So despite the market being slightly higher from last week, the VIX futures are up slightly. Obviously, there is alot going on to keep options prices bid, with Syria headline risk and Fed tapering bets all part of the mix.

The Fed will give us details on tapering / no tapering on September 18th.  We remain long our VIX trade based on the timing of that Fed meeting in mind, and we continue to hold that position for now. Here’s a 6 month look at the Spot VIX:

Screen Shot 2013-09-06 at 10.13.02 AM
from LiveVol Pro

As you can see the VIX has been creeping up based on uncertainty and realized volatility and not what has been a mild selloff overall from the market highs. Where it goes after Sept 18th will have more to do with market movements up or down rather than headlines and taper betting.