$VIX Futures Snapshot – Vol Creep Lower Continues

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 30 day realized volatility measure is around 7, not far from the 10 year low of around 6 registered at the start of 2011.

As a result, VIX futures continue to be under pressure from volatility sellers, as buyers of the 3-6 month futures in the mid-teens are not aggressive in this quiet market.

Here is last week’s snapshot:

VIX Snapshot 02/13/2013, Courtesy of Bloomberg

VIX Snapshot 02/13/2013, Courtesy of Bloomberg

 

Not much different from today:

VIX Futures Snapshot 022013, Courtesy of Bloomberg

VIX Futures Snapshot 022013, Courtesy of Bloomberg

 

The entire futures curve shifted down in almost parallel fashion.  March to Oct VIX futures are down 0.5-1 point, quite a uniform move, and significant given that VIX spot has not declined much in the past week.  With this backdrop, even if VIX spot does rally on the next SPX selloff, I don’t anticipate VIX futures to move much higher at first.  Clearly, buyers of volatility have a higher threshold than at any point in the past year to get involved in pure long volatility bets.

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