As the SPX tilts to all-time highs again, VIX is meandering down to the 11 handle after getting oversold last week into the holiday. What was strange was the action in the VIX future term structure. VIX futures lifted on a day when there was scant market activity and close to close volatility was even lower than the posted 10 day 4.28%. Every future in the VIX term structure was higher.
I guess at the end of the year stocks have finally run out of steam. After opening at higher levels and ralling hard on Tuesday after Christmas buyers finally got tired after shopping. The strange thing is that the upside skew in the SPX for the end of the year is tilting bullish. Take a look at the skew: