Lower Low on S&P500, But Lower High on VIX

S&P500 Lower Low

We have just had a clearly negative week on equities, with S&P500 declining 2.21% and 4 out of the 5 days negative (and Thursday was a black zero). Volatility was not extremely high, but the index has made a lower low (closed at 1428.59 this Friday, compared to 1433.32 close on 26 September). Does this mean that the 4-month rally is coming to an end?

S&P500 S&P500 (intraday)

VIX Lower High

In spite of the lower low on S&P500, the VIX (CBOE Volatility Index) did not exceed previous high this week. It was trading in a relatively narrow range between 15 and 17 and closed at 16.14 on Friday.

VIX (CBOE Volatility Index) VIX (intraday)

VIX Futures Curve Flattens

VIX futures curve continued to flatten, with the short end rising up to 0.9 points and the long end going down up to 0.6 points this week.

VIX futures curve

VXV Index

The VXV (CBOE S&P 500 3-Month Volatility Index – 93-day version of the better known VIX) was trading between 16.5 and 18.5 this week and closed at 17.57. Like the VIX, it did not exceed the high from late September.

VXV (CBOE S&P 500 3-Month Volatility Index)