Tuesday, December 30, 2008

VIX Close of 41.63 Is Lowest in Three Months

The last time the VIX closed below 42.00 was way back on October 1st, when the VIX closed at 39.81.

Before anyone gets excited about the possibility of the VIX back in the 30s, I should note that the VIX futures continue to reflect expectations of a rising VIX over the course of at least the next 2-3 months. Today’s VIX January futures settled at 44.18 and the February futures settled at 45.08. Futures for August through October are now priced in the 37-38 range, however, suggesting that volatility expectations are being lowered for the second half of 2009.


Anonymous said...

I know in our trading we've cut our timeframes used at least in half (such as tick charts or volume charts) just over the last few weeks as the range and movement has come way down. We might have used a 987 tick just a few weeks ago on the S&P emini and now look at 377 tick so there's been a measurable change.

Anonymous said...

Just curious. Did anybody expect VIX at 80 few months ago?? I wonder what futures on VIX showed in May 2007 for example.

TraderTopGun said...

VIX Count down is now #7

Anonymous said...

Infinite discussion :)

Emini Trader said...

Interesting Analysis my friend!

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