S&P500 near Potential Resistance, VIX to HV Premium Low, VIX Curve Steep

Potential Resistance on S&P500

After having made new lows in the beginning of June, S&P500 returned to the 1292-1340 zone and has now approached its upper border. In the last post, I have written that I see a high probability of resistance “in the 1340′s, and if we get past that then April lows (1357-1359).”

S&P500 index

VIX to Historical Volatility Premium Low

In the chart above you can see that annualized 21-day historical volatility of S&P500 got to its highest level since early January – now at 18.38%. The VIX (CBOE Volatility Index) has retreated from early June highs and ended last week just above 21. This puts the premium of VIX over S&P500 realized volatility at lowest in last several months.

VIX index

VIX Futures Curve Steep

VIX futures curve steepened sharply – not only on the short end, which is very common when spot VIX declines, but the curve has now become much steeper also on the long end. On the chart below, compare the green (current) curve with the blue one (29 May, when spot VIX was about the same as it is now). The yellow curve is 1 June, the day when spot VIX was the highest. June 2012 VIX futures and options expire this week.

VIX futures curve