Another Strong Week for Equities as S&P500 Improves Highest Close to 1465.77
After breaking out long term highs and making highest post-2009 closes at the end of last week, equity indices kept their momentum this week. S&P500 improved its highest close to 1465.77 on Friday. The Dow Jones Industrial Average and NASDAQ Composite indices also exceeded their highest closes.
21-day historical volatility got back above 10% (annualized).
The VIX (CBOE Volatility Index) was trading in the 14 to 16.5 range this week and closed at 14.51 on Friday, staying just above long term lows.
VIX Futures Curve
The middle and the long end of the VIX futures curve shifted downwards, unlike the short end which ended the week virtually unchanged, with the front month (September) actually 0.65 points higher for the week. The September contract expires next week.
The slope of the curve is now considerably greater beyond year end; part of the difference between December 2012 and January 2013 must be attributed to seasonality though. All remaining 2012 months are now trading below 20.