VIX Futures Open Lower, Reverting Most of Yesterday’s Spike

Tuesday, 16 April 2013

ES futures recovered and VIX futures were giving back most of their yesterday gains before open. Yesterday equities had been under pressure the whole day, in line with the sharp selloff in gold.

The selloff in equities and spike in VIX accelerated in the last hour of yesterday’s trading on the horrible news from Boston. Spot VIX closed at 17.27, highest since 26 February. The front month April VIX futures, which trade the last day today and expire on Wednesday, increased 3.95 points from 12.75 on Friday to 16.70 at yesterday close. The contract is trading at 14.25 less than an hour before equities open today.

Below you can find the VIX futures curve at yesterday close (yellow) and today (45 minutes before equities open, green):

VIX futures curve

April 2013 VIX futures:

April 2013 VIX futures

ES futures:

ES futures