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 $VXZ).
Here is a chart that compares the current VIX term structure against last Monday’s, courtesy of VIXCentral.com. The July contract fell ~13% in the last week.
SPY jumped at today’s open and then traded sideways all day. Financials ($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 StockCharts.com and Trading Volatility.
Disclosure(s): Short volatility at time of writing.