Original post:
The VIX has closed at:
Dec 8.....30.59
Dec 9.....26.38
Dec 12...25.67
and is currently 24.45 down another 1.22.
Got that? The VIX is down 20.07% in 3 1/2 trading days!
VIX and more had some comments yesterday morning:
Steven Place of Investing with Options has a video post up this morning, Options Market Does Not Care About Selloff, in which he discusses how the implied volatility in various asset class volatility indices (VIX, GVZ, EVZ) are showing a very muted reaction to today’s selloff in stocks.Although the VIX's predictive ability is a coin-flip in the short term you have to wonder what this aberrant behavior means.
As noted here previously, the VIX generally moves about -4x in percentage terms the direction of the SPX. Mondays generally see a slightly larger move in the VIX relative to the SPX (usually an incremental 0.5% - 1.0% increase over Friday’s close) due to calendar reversion or the weekend effect, so today one would expect to see the VIX moving at least 4x in the opposite direction of the SPX.
In fact, as I type this the SPX is down about 1.9% on the day and the VIX is up only 3.9% -- so the VIX is about half as sensitive to changes in the SPX that is typical for a Monday trading session....MORE
S&P 500 currently up 5.38 at 1241.85
