VIX Below 15, Lowest in 10 Months

After yesterday’s interesting developments, it’s time for a quick update of the SPX and VIX charts I published on Monday: VIX Near 2012 Lows, VIX Futures Curve, Macro, and DST.

S&P500 Index

S&P500 Index (SPX) moved sharply higher, now clearly breaking the 1360-1380 resistance. It closed at 1395.95 yesterday, at the top of the day’s range.

S&P500 Index, last 2 weeks, 45 minute bars

VIX (CBOE Volatility Index)

VIX got below 15 for the first time since 29 April 2011. It closed at 14.80 yesterday; intraday low (reached at open) was 13.99.

VIX (CBOE Volatility Index), last 2 weeks, 45 minute bars

VIX Futures Curve

VIX futures curve moved lower again and maintained its sharp contango. VIX futures and options March contracts expire next week.

VIX Futures Curve

Implied vs. Realized Volatility: 15 Is Low, 11 Is Lower

However low the current VIX might seem when looking at its chart, SPX implied volatility is still significantly higher than SPX realized (historical) volatility. After having spent 30 trading days below 10%, 21-day historical volatility of SPX spiked to 11.11% yesterday, as we saw the greatest day-to-day SPX change in 2012 so far (+1.8%) – probably to remind us that volatility can increase not only when market declines, but also when it rises.