VIX spot remains above 17 today, despite the strength in stocks. VIX spot yesterday did breach the 18 level I mentioned in Monday’s VIX Futures Snapshot (and we took off half of our VIX trade there), but it ended up closing below there. In the meantime though, VIX futures have remained quite elevated as the government shutdown remains unresolved.
Here is Monday’s snapshot:
Compare that to today’s snapshot:
Even though VIX spot is hardly changed from Monday to Friday, Oct VIX futures are up more than a point, and Nov VIX Futures are up about half a point. Dec to June futures are up 0.15-0.5 point.
We have also seen skew steepen in SPX options (read about skew in our education section), another indication that protection buyers are active in the options market. Of course, if we do see a resolution in the political situation, we should see a quick unwind of this sort of protection. But until then, we expect the bid for VIX upside and SPX downside to persist.