$VIX Futures Snapshot – Traders Believe That the Big Moves of 2013 Are Behind Us

by Enis November 8, 2013 1:17 pm • Commentary

For the second straight week, the S&P 500 is essentially flat, and VIX Futures have declined across all of the maturities as a result.  Interestingly, that across-the-board decline has occurred despite yesterday’s large move lower.  Part of the reason is that the jobs report today and the ECB yesterday have removed the remaining large macroeconomic events until the FOMC minutes are released on November 20th.

Here is the snapshot on Monday morning:

VIX Futures Snapshot 110413, Courtesy of Bloomberg
VIX Futures Snapshot 110413, Courtesy of Bloomberg

Compare that to today’s snapshot:

VIX Futures Snapshot 110813, Courtesy of Bloomberg
VIX Futures Snapshot 110813, Courtesy of Bloomberg

Realized volatility this week has actually been much higher over the past 2 days than at any point in the past 3 weeks, but today’s bounce has traders unwilling to buy premium as the SPX is back in the middle of its 2 week range.

With earnings season winding down and the calendar fast approaching the holiday season, most traders obviously believe that the big moves of 2013 are behind us.