I think we are a little too worried about his election, Sandy, or employment numbers. Because, despite the fact the market hasn't down anything in a full week, the VIX cash briefly backwardated over the VIX November Future. While it did fall back a touch to about even, the curve is still very flat:
Let's lay this out: The VIX is in a state where it potentially could move much higher. The market is in a mini-panic (that's what backwardation really represents). At the same time, the cost of buying panic insurance is actually decreasing (VVIX). I think this breaks down to on a low volume day a few traders buying some put protection in SPX, while traders seem to have stopped running for VIX calls. We also could have seen a little bit of cashing out of VIX calls today. Finally, if VVIX is down and VIX is up and backwardating, skew could be softening a touch. Either way, I think the conflicting signals and somewhat low VIX, while troubling, are less worrisome than they have been in the past because the VIX itself is so low, as is realized volatility....MORE
* The quote is often mis-attributed to Ginger herself. The actual source was a Frank and Ernest cartoon:
