S&P500 Back near Highs, VIX Back near Lows

S&P500 Breaks Out of Q1 Earnings Range

Quite surprisingly, S&P500 had stayed in a narrow range between 1358 and 1393 for the first half of 2012 Q1 earnings season. In the last few days, it finally moved a bit higher and it is now approaching the highs from the second half of March. Fundamentally, the earnings season has been very good so far (at least relative to analyst expectations). 21-day historical volatility of S&P500 is now at 14.33% (annualized).

S&P500 Index, 135 minute bars, March-April 2012

VIX Back in the Teens

VIX spent a total of 12 trading days (from 9 to 24 April) above the psychological level of 20. Now it is back in the teens, closing 18.74 on Friday.
VIX (CBOE Volatility Index), 135 minute bars, March-April 2012

VIX Futures Curve Shifts Down

In line with the down move in spot VIX, the whole VIX futures curve shifted down. On the long end of the curve, we now start to see the December 2012 contract at discount to its neighbours, which is nothing unusual (as the markets tend to expect lower volatility around the year end), but it is still worth watching in the months to come, especially as the 2012 year end futures months become more liquid.
VIX futures curve