S&P500 Highest in Almost 3 Months; VIX Back to the 16’s

S&P500 Highest in Almost 3 Months

The down-then-up pattern from the first half of July repeated itself at the end of the month too. S&P500 managed to make another higher high on Friday after two very strong days (+1.65% and +1.91%). The index closed at 1385.97, less than 2.5% below 2 April close of 1419.04, which has been the highest close since the 2009 low so far.

S&P500 index

VIX Back to the 16’s

After having briefly visited the 20’s at the beginning of this week, the VIX is back in the teens. Friday close of 16.70 is about 2.5 VIX points above the lowest 2012 VIX readings that were reached in March.

VIX (CBOE Volatility Index)

Little Change in VIX Futures Curve

VIX futures curve was little changed overall in the last two weeks after an almost parallel shift upwards at the beginning of this week and a downward move of about the same size in the last days. The contango remains less steep compared to most of the first half of 2012, although there is still almost 5 points difference between the first (August) and the fourth (November) month.

VIX futures curve