The S&P 500 is in what appears another decent sell off. At the lows today, it was near levels that we saw in the sell offs surounding Greece. In fact, with another similar drop to today, the S&P would be right near that recent low close. Yet, take a look at the option market. While during the Greek Crisis VIX touched into 20, This time the VIX has barely touched 16 and does not seem to be a threat to get to 20 with out another bigger push lower.
So far this earnings cycle we have seen big wins in tech out of GOOG, NFLX, and no AMZN. Flops have come from AAPL, IBM, and MSFT. Take a look at the pricing of AMZN from today (now up about double the straddle price).
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Greece has a deal, good or bad, there is some sort of deal. However it is not a done deal. The Greek Parliment still needs to approve it, and then alot of other details need to still be worked out. This might be part of the reason that S&P 500 rallied less than 50 points on the Greek deal over 2 days. Yet, the VIX has been utterly hammered. For a tiny rally, volatility has been completely smashed. Take a look at the magnitude of the move S&P 500 IV made relative to the actual SPX.
Today was certainly a rough day for the S&P 500. Like Clockwork it tested the lows from the day before, but managed to hold. With that the VIX exploded higher settling near 19.65. In fact the whole cruve is in backwardation through the August contract. But that doesn't mean there isnt trading opportunity. Take a look at the front of the VIX futures curve.
Looking at the action today the VIX and VIX futures had a decent range, as did the SPX. However, while the SPX threatened its recent lows today, at no point in time did the VIX get close to the highs we saw in the middle of last week. See the SPX vs the VIX below, notice how the highs from today get no where close to what we saw last week, this desptie possibly more uncertainty.