Mark Sebastian's blog
The VIX is in the news again this time because it has stopped negatively coorelating iwth the S&P 500. While this is true, especially in the futures, I would argue that has more to do with the complete collapse of movement in the SPX. For a week the SPX drops a little, in tiny increments, and VIX falls. Now we have the VIX rallying and futures rallying even as the SPX is up. I would argue a couple of things:
1. We are off a long weekend coming from a period of time where the SPX barely moved.
2. SPX is finally starting to wake up, even if its a rally
We all know its important to be aware how much a stock is moving relative to implied volatility. We would encourage traders to take a look at how GS has been moving and where they are pricing volatility