6 Consecutive Up Closes on S&P500 and VIX Below 15 for the First Time Since March
S&P500 1% Below Post-2009 High
It’s been a quiet week on equity indices, with five low volatility up days from Monday to Friday. With the previous Friday’s huge increase, the S&P500 has been growing for 6 consecutive days now.
It closed at 1405.87, only 1% short of the post-2009 highest close of 1419.04 that was reached on 2 April 2012.
VIX Below 15 for the First Time Since March
The VIX closed at 14.74 on Friday, below 15 for the first time since March this year. Before March, the last time VIX was this low was April 2011. The VIX has not closed below 14 on any day since 19 June 2007, the time when the subprime crisis was beginning to unfold.
VIX Futures Curve Steep and Down
VIX futures curve steepened, as the short end moved lower in line with spot VIX. October VIX futures contract, which is a good reflection of the market’s expectation of stock market volatility in the autumn, is now trading just above 20.