With the almost 3% rise in the S&P 500 Index today came a drop in the VIX Index and active VIX Futures contracts. Check out the graph below and note the drop in the index and futures. The red line on the chart shows closing prices from last Friday and the lower blue line represents the various VIX closing levels today. Two things of note – 1) The VIX is still over 30 – a pretty high level relative to history and 2) The shape of the curve moved from slightly inverted back closer to a ‘normal’ curve.
The curve of the VIX Index and Futures prices will be discussed extensively this weekend at the following class –