VIX and VXN were both on hold in front of expected news on Thursday and Friday. While we celebrated the 237th anniversary of the Declaration of Independence on Thursday the European Central Bank made comments following a regularly scheduled meeting that pushed equity markets higher around the world. Not to be outdone some of us came back to work on Friday (my train was empty) to a monthly employment report that was also taken as very bullish by equity markets. The move higher did occurr after some confusion in the morning where stock prices traded off and then resumed an upward trajectory.
The Friday rally in the stock market resulted in a the VIX and VXN curves both settling ito more normalcy after recent spikes associated with the anticipation of higher interest rates in the fairly near future. Rising rates will be associated with the Federal Reserve shrinking the size of their debt repurchase program. I can across a survey where it appears the assumption is the Fed will take this course beginning in September. Note the angle of the VIX curve below is pretty steep for the rest of the summer. It appears that the VIX market agrees with this assessment as well.