VIX managed a .17 up move near the close today as the SPX turned in a .01 percent move. After a near 4 day holiday I would have expected the VIX to be up a bit more today but it was not the case. The weekend is usually good for bump in VIX but today is not the case. Why?
The big reason is that the liquidity providers took down IV in SPX early in the cycle last week and that pretty much killed it. 11.37 to the mid-9’s in 2 days so there was a bit of haste early in the week. This is setting up for some interesting trade in VIX futures into the end of December.