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.
So yes you say IV is low but the realized vol is lower. 20 day realized vol is only 6.02% as the SPY and big brother the SPX extend the 80+ day run without a close to close 1% down move. At this point the market is loving the DJT administration, tweets aside. Straight up rallies are hard to diagnose but it appears that the steady mantra ofearnings, less regulation, lower taxes and more infrastructure is having quite a bubbly effect that the buy algos find quite tantalizing.