The OVX settled just over 32% today. This is the cheapest oil prmeiums have been in the last year and near 2 year lows.
The VIX is about to break 15 again, and the market might finally break higher for a few days. But the volatility options market is still a little bit dicey. Yes, VVIX is back below 100, but VVIX is still above 95 and only came off a few ticks despite the softness in VIX and VIX options today.
We have been talking about the spread between the VIX future and the VIX cash for some two weeks. Well it turns out, as can often be the case, the future was right. However, what is interesting is after yesterday's sell off, there was not a big continueation. Actually, the SPX had an anemic rally. Whta is alarming about some potential follow through is VVIX. The VIX did very little today, VVIX on the other hand:
Take a look at the current term structure of VIX futures (yes I know we discuss this alot but its been fascinating):
After what looked like a potential ugly day where the market was down almost 1% at one point, the VIX related products found little to cheer for. The VIX was only up .06 points. What is even more bearish for volatilty was VVIX which wasnt just barely up, VVIX was down by over 1.5%, even more, VVIX was already somewhat low at around 90.