The Main Story of This VIX Spike Is on the Long End of the Curve

Biggest Correction Since November 2012

With three weeks since the last all-time high in US equities, this correction is the longest and biggest since November 2012. S&P500 has closed the 3 May upside gap, briefly trading below 1600 last Thursday. It had lost 89 points, or 5.3%, from the all-time intraday high to last Thursday intraday low. These two levels are also key points to watch in the next days.

SPX

Longest 2013 VIX Spike

The VIX has not exceeded its 2013 high (18.99 close and 19.27 intraday high on 25 February), but all the three big 2013 spikes have similar maximums above 18. The last spike is already the longest of the three in terms of duration: VIX has traded above 17 (intraday) on 5 out of the last 7 sessions, compared to 2 sessions in February and 3 sessions in April. It has not traded below 15 (except the 14.96 low on Friday) during the last 7 sessions. Before that, there had not been any two consecutive sessions with lows above 15 since the start of 2013 (although there were 3 consecutive sessions with lows of 14.87 or higher in April).

VIX

Medium and Long Term VIX Futures Strongest YTD

The most important feature of this last VIX spike is the strength in the middle and on the long end of the VIX futures curve. All maturities have added more than 1 point since the 17 May VIX low.

VIX futures curve

The curve is considerably steeper compared to the February and April VIX highs:

VIX futures curve

Constant Maturity VIX Futures Charts

The comparison of the three 2013 VIX spikes on medium and longer term VIX futures is best visible on the charts of constant maturity VIX futures prices. Below you can find the charts for constant maturities from 2 to 8 months:

Constant maturity VIX futures Constant maturity VIX futures Constant maturity VIX futures Constant maturity VIX futures Constant maturity VIX futures Constant maturity VIX futures Constant maturity VIX futures

VVIX High, But Below April Maximum

Unlike long-term VIX futures, the VVIX (which again measures rather short-term volatility expectations), is way below its April highs.

VVIX