Volume was light in options trading today. Volume was light in stock and futures trading as well. Yet there was one odd creepy move today in VIX futures. It started with a large buy order. A customer bought 100,000 of the VIX Dec 27 calls. From then on the VIX curve was bid. Even as the VIX was flat the VIX dec contract was up more than 3%. Quote the move on a day the S&P 500 was down 2 points. Notice the 2 day shift.
Huge rallyin the SPX today. Its currently acting like its abou to make a run at the 200 DMA again. Yet, notice despite this rally being bigger than any of the sell off's last week, VIX barely budged (even if the futures did drop nicely). In fact, SPX closed at the highs of the day, and VIX was well off the lows of the day. Additionally take a look at the chart below.
For those VIX watchers today was interesting. The market held a tight range and yet VIX moved higher. Infact over the last couple of weeks that has been the case, IV rallying, HV falling:
While the SPX only sold off 1% today, and is off less than 2% from the recent top, the VIX is sounding the alarm. On October 22nd the SPX closed 2052, the VIX settled 14.45%. Today, the SPX settled 2078, the VIX closed 16.52%. Generally speaking when we see the VIX incrementally hitting higher levels relative to similar levels in the SPX that is NOT a great sign for the market. The VIX has actually been creeping higher since early last week and appears to be primed to react hard to any sell off....essentially the market is become very tired of this sell off.