S&P500 near Highs, VIX Down; NASDAQ Weaker

S&P500 and Dow Up to Retest Highs

In the first week of the fourth quarter, S&P500 and Dow Jones Industrial Average advanced and are now very close to the post-2009 highs. On Friday the highest close was exceeded on the Dow (13610.15), but not on the S&P500 (1460.93; highest close on 14 September 1465.77). The tech-heavy NASDAQ Composite was lagging behind and closed the week at 3136.19, almost 2% off September highs, although still up for the week.


S&P500, April – October 2012.

21-day historical volatility remains around 10%.


S&P500, September – October 2012 (45 minute bars).

Dow Jones Industrial Average

Dow Jones Industrial Average, September – October 2012 (45 minute bars).

NASDAQ Composite

NASDAQ Composite, September – October 2012 (45 minute bars).

VIX Down for the Week

With the advance in equities, the VIX was losing for most of the week and it was opening well below 14 on Friday. After a Friday correction it closed at 14.33.

VIX (CBOE Volatility Index)

VIX Futures Curve Flattened Slightly

VIX futures curve shifted downwards a little and it has flattened in the last two weeks, although the flattening is only very slight.

VIX futures curve