The Market is Tired of This Rally

One of the things we watch for most at Option Pit is VIX and SPX correlation.  When the two correlate,  something is up and/or developing.  While the VIX is somewhat low relative to where its been recently,  that doesn't mean one can throw out these correlations.  Today,  the SPX was up and the VIX was up and vol was firm all day.  


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RVX Finally Caught Up to VIX

Since August the VIX has vastly outperformed the RVX (the VIX of RUT options).  This is partially because SPX was moving more in relative terms.  Yet,  as volatility mean reverts so do the relationships between the IV indexes.  RVX has finally moved back to normal against the VIX and is looking like it might spread even farther appart based on how hard the RUT is moving.

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