S&P500 6-Day Losing Streak Ends with a Big Up Day

S&P500 Index

S&P500 index had not gone anywhere but down since 4 July, at least on close-to-close basis, with 6 consecutive lower closes (although this Wednesday was merely a red zero). That is not true anymore after Friday, when S&P500 added +1.65% (the fourth best day-to-day performance in 2012 so far).

S&P500 Index

VIX (CBOE Volatility Index)

VIX has been trading in the 16-19 range since the start of July. It is now at approximately the same level as realized volatility of the last 21 trading days (17%).

VIX (CBOE Volatility Index)

VIX Futures Curve

VIX futures curve has shifted further down in the last two weeks, with approximately equal decline along all maturities. The market is now expecting volatility in the fourth quarter of 2012 (VIX futures expiring in September, October, and November) to be somewhere between 22% and 24% – much lower than what it had expected during most of 1H2012.

VIX Futures Curve