Market Recap 7.8.13

VIX got crushed last week and continued to get smoked today. The shape of the VIX term structure is starting to get “steeper”. There is not much of a premium between July VIX futures and the VIX (spot) index…but August contracts are ~9% higher than July. Even the middle of the term structure is getting fairly steep (good for $ZIV, bad for $VXZ).

Here is a chart that compares the current VIX term structure against last Monday’s, courtesy of The July contract fell ~13% in the last week.

VIX term structure comparison

SPY jumped at today’s open and then traded sideways all day. Financials ($XLF) are knocking on the door of 52-week highs. Russell 2000 ($IWM) closed at an all-time high today, as did Consumer Discretionaries ($XLY). This is bullish market behavior. I wouldn’t be surprised to see a short pause…but with the current picture, I expect bullish momentum to continue.

The rest of today’s charts are below, courtesy of and Trading Volatility.

Disclosure(s): Short volatility at time of writing.

SPY daily chart VIX term structure - contango $NYMO $BPSPX $USHL