VIX New Low Last Week and Recovery on Monday

S&P500 Almost at All-Time High, Dow above 14500

Equities made new highs last week, with S&P500 closing at 1563.32 on Thursday, above 1560 for the first time since 2007. The all time highs (close 1565.15 on 9 October 2007; intraday 1576.09 on 11 October 2007) have not been reached yet, but we are very close. The Dow Jones closed above 14500 for the first time in history. The indices corrected their gains on Friday and especially on Monday, as S&P500 fell to just above 1550 (and lower for a short period in the morning).

S&P500 in March 2013

VIX Full Week below 13 and Recovery

Last week was the first week since February 2007 when VIX stayed below 13 all the week, including intraday – and below 12 all the time during Thursday and Friday trading. It made new multi-year lows on Thursday, both on intraday (11.05) and closing (11.30) basis. It closed again at 11.30 on Friday.

On Monday it opened much higher around 13.50, then corrected half of these gains during the day, only to climb back above 13 in the afternoon. The day-to-day surge in VIX was quite large given the day-to-day decline in S&P500 of only 0.55% – the extremely low last week VIX levels, as well as the proximity of S&P500 multi-year high probably played some role.

VIX in March 2013

VIX Futures Curve

The changes in spot VIX were reflected in the futures curve, although the moves were of course much more subtle, especially on the more distant expiration months. March 2013 futures lost a lot of value as they approached expiration (last trading day of the March contract is today).

VIX futures curve

VVIX Higher

VVIX, which measures implied volatility of VIX options, applying the same VIX methodology to the VIX itself, was rising in the last week, even at the time when the VIX was making new lows.

VVIX in March 2013