VIX Near 2012 Lows, VIX Futures Curve, Macro, and DST

SPX and VIX Last Week

The struggle of S&P500 Index (SPX) with the resistance at 1360-1380 has continued to be a key topic, together with low realized volatility, high implied volatility premium, and steep VIX futures curve. Last Tuesday we saw the biggest SPX day-to-day drop in 2012 so far, but the index recovered from all its losses in the rest of the week.

S&P500 Index

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

VIX (CBOE Volatility Index)

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

VIX Futures Curve

On Tuesday, when SPX dropped and VIX spiked, the whole VIX futures curve shifted a bit higher and flattened a bit, but eventually ended the week slightly lower than the Friday before.

VIX Futures Curve

Macro Data This Week

There are lots of interesting macro data scheduled for this week: Retail Sales, CPI, PPI, Empire Manufacturing, Philly Fed, Michigan Sentiment, and – not least – FOMC Announcement on Tuesday. Outside the US, there will also be announcements by Bank of Japan (Tuesday) and Swiss National Bank (Thursday), and Eurozone CPI (Wednesday), which could be particularly interesting.

DST On in the US, Not in Europe Yet

For those of you looking at markets outside your timezone, note that there may be a time difference other than usual, as daylight saving time already started in some places (including the US and Canada), but not yet in some other places (including Europe). For example, the time difference between mainland Europe (CET) and New York (EST – now EDT) is 5 hours this and the next week, instead of the usual 6 hours. You can download an Excel spreadsheet with DST start and end dates for 1998-2015 in Free Downloads.