S&P500 Stays near High with Week’s Range Only 17 Points

S&P500 near the High with Very Low Volatility

After two very bullish weeks when equity indices made new 4 year highs, the markets took a breather this week. S&P500 index was trading in a narrow 17 point range (1450-1467) the whole week and closed at 1460.15 on Friday, down 5.62 points for the week.

S&P500 (daily bars)

21-day historical volatility stayed just above 10%.

S&P500 (intraday)

On the chart above you can see the intraday development of S&P500 in the last 3 weeks. This week the index has not reached neither the intraday high of the previous week (1474.51 on Friday 14 September) nor the congestion area prior to previous Thursday’s breakout (1430-1440). We will sure see one of these reached in the days to come. The question of course is which one (first) and what will happen next.

VIX in Narrow Range; Closes below 14 Again

Like S&P500 the VIX (CBOE Volatility Index) spent the whole week in a narrow range between 13.60 and 14.90 and closed at 13.98 on Friday, near the multi-year lows.

VIX (daily bars)

VIX chart, daily bars, March – September 2012.

VIX (intraday)

VIX chart, 45 minute bars, September 2012.

VIX Futures Curve

The little depression of November and December 2012 contract prices is now gone and VIX futures curve is almost straight line again, with approximately equal upward slope along all maturities. All parts of the curve except December 2012 went down this week (December did too, but only 0.1 points), with the short end dropping the most. October 2012 lost 1.3 points, as it became the new front month after September futures expired this week.

VIX futures curve