When I look at a day where the S&P moved about .75% and has moved more than 1% in a lot of recent days, then see 60 HV higher than 30 day IV I start to think one thing: vol is too cheap. Think about it, one could have bought an ATM straddle at just about any day over the last few weeks and hit a complete homerun. Take a look at movement realtive to vol in the last few weeks. Its not like movement has backed off:
In the last few days the market has continued to see vol collapse and the market hit new highs. Meanwhile USO has started to churn up and down but IV has crept up. This wont last and should be sold. An OVX above 40 is too high, an OVX above 35 is probably too high.
After 12 months of tight correlation to oil prices the SPX broke free somewhere around $50 per barrel. Since we are a global economy there is always something to jump in the way and replace it. That new something is the British Pound and it is losing value with frightful alacrity. The ETF that tracks the pound is FXB and is a good enough vehicle to trade the British Pounds moment.
While the VIX is back below 15% and maybe heading toward the 13's VIX IV (the VVIX) is still elevated at 90%. However, its no where NEAR where it was and continues to collapse.
To me this presents one of two ideas