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Despite VIX Selloff VVIX Firm

Yes, the VIX is back below 14.  One might argue that only dropping to 13.63 is a bit underwhelming in the index, but thats neither here nor there.  What is more interesting to me is that VVIX is not tanking with the VIX index.

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LivevolX for Lightspeed

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July Futures are Overpriced in VIX

The VIX got smoked today.  Adjusted for the weekend the VIX was down about .90 points, which is a nice drop when its below 15.  Additionally there was some preasure on the VVIX and May and June futrues.  However, there is one contract that seems completely out of whack within the VIX curve:  July.  Notice the kink in the curve below:

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www.vixcentral.com

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SPX Vol Has Bounced

In the last two weeks we have seen a few surprizing things out of SPX vol.  We saw a settlement in VIX below 12.50 and we saw 10 day realized vol dip below 5%.  Surprizingly low given how much the market was moving a month ago, and even considering how hard the SPX rallied in April.  Yet there it was.

chart_-_spx_-_standard_poors_500_index_window_screenshot_2.png

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