So you say, "what does VIX do again"? It stayed below 9 for the 6th day in a row. Mark did a hit on Mad Money describing this. Realized vol is in the toilet so VIX should be low. If VIX was rising solidly on a rising SPX, usually that is a good time close the short vol positions. We did have a slight up day in VIX today, .12, but I don’t think that is enough to reverse the trend. ATM IV in the SPX is 6.68% so it is hard for VIX to get much lower.
For the first time since Weeklys were listed, at least that I can remember, IV is in the 6 handle or lower for all SPX Weekly options out a month. Well the Oct27 is 7.12 but still very low. At the money IV in the Oct02 cycle is 4.99%. Can it get lower?
As we run to all-time highs for SPX and RUT plain kicking the door down, VIX notched in a 9 handle close. All is normal, as the BIG VOL INDEX runs the way it is supposed to. Now the issue really is why the VIX Oct future remains above 12 with less than 3 weeks to go. The short answer is the future traders are holding out. Waiting for the next DJT Tweet bomb or a NK dirt clod fight has left premium sellers a little shell shocked. They won't give it up.
Every weekend we are treated to a variety of Tweets designed to arouse some and infuriate others. The fearless leader of NK and the NFL came under fire within 24 hours of each other. So from a standard deviation perspective, you can't get much farther apart than those Tweets. Maybe we call it 3 Sigma Tweeting in that they were so different the NFL issue almost blanked the NK issue over the weekend. I don't think that is what upset the QQQ today.