non-farm payrolls

VIX Yawning Into Non-farms

Heading into non-farm payrolls I was a little surprised by how low VIX is trading, and even more so, how little of a spread there is between VIX and the August VIX future.   VIX is trading around 13.50 the Aug future with 22 days to expire is trading around 14.65.  Into a non-farm, in a low VIX period, that spread is VERY tight.  How tight?


LivevolX (R)

Looking at the other VIX periods, the most comparable VIX period I could find was the beginning of April.  In April the VIX was also around 13.5.  Take a look at how the tow futures curves compare to each other.

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Do Non-Farms Matter This Time?

With today's snoozer in the market, one has to wonder what exactly is holding up the VIX.  Let's take a look at what we know:

1.  Cliff Deal is done

2.  Debt pushed back to March

3.  Earnings season is so far so good

4.  SPX market volatility is:


Livevol (R)

Seriously, below 4%, after today, close to 3.5%.  Yet the VIX closed at 13.57, that's about 4X of realized volatility. 


Livevol (R)

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