For the second straight week, European headlines have dominated the airwaves, but the SPX index and the VIX futures curve have hardly moved week-over-week. As I’ll show in my Vol Around the World post tomorrow, …
Continue readingMonday Macro Wrap
With the FOMC announcement in minutes, the SPX and VIX futures have hardly gone anywhere in the past week. VIX spot is a bit higher, and intraday volatility has picked up this week, but close-to-close …
Continue reading
With the SPX index continuing to inch higher on low volatility, the VIX futures curve (not just VIX spot) has hit new lows for the year. 10 day realized volatility in the SPX is now …
Continue reading
The SPX index rallied 40 points in the past week. Not surprisingly, the VIX crashed lower in that period. It is notable, though, that the VIX, and most VIX futures, are still higher than they …
Continue reading
The VIX has been very active since last Wednesday morning (before the FOMC minutes were release), when I last wrote the snapshot. Back then, VIX spot was trading at 12.54, and the entire futures curve …
Continue reading
While VIX spot has not moved much in the past week, VIX futures continue to be for sale. Realized volatility on the SPX index has averaged 5 over the past 10 days, and even the …
Continue reading
Feb VIX Futures expired this morning at 13.07, the lowest VIX settlement since early 2007. It’s a brave new world, as SPX realized volatility has been around the 10 level for 2013 so far. As …
Continue reading
The SPX was around 1500 last Wednesday, compared to 1508 as I type, but VIX spot and VIX futures are all slightly higher today than last week. That’s not a surprise given the pick up …
Continue reading