$VIX Futures Snapshot – Vol Seems Too Low

Bizarre that VIX futures were halted at 1:37 pm EST this afternoon because of a technical problem.  Figured it was a good time to see what VIX futures had done before the halt (halt just ended).  Here is the snapshot from last Wednesday:

 

 

Incredibly, VIX futures today are uniformly lower across the term structure since last week (by 0-0.5):

 

 

The main reason for this decline in VIX futures even though the SPX has broken the important 1400 level is that options traders see a much lighter calendar in the weeks ahead (after ISM, jobs report, and elections in the past week).  However, today’s price action is a good sign that people have gotten more jittery rather than less jittery in the past week, and the myriad headlines that we’ll see related to the fiscal cliff in the next 2 months are going to keep nerves on edge.

I actually thought about buying VIX call spreads today because I think VIX futures should be 1-2 points higher.  Particularly because realized volatility has started to rise, even in the absence of news, as I mentioned in my Macro Wrap last week.  However, given our existing short posture, I’d rather wait for a bounce day before getting into VIX call spreads.  If the market is calm tomorrow, digesting today’s losses, then vol might move lower ahead of the weekend.