VIX closed under 12.00 for the first time since mid-March. When VIX closed with an 11 handle before the S&P 500 was in the mid 1500’s. Now with the S&P 500 a few points over 1700, VIX is approaching a new post 2008 low. I noted a couple of headlines asking, “How low can VIX go?” over the past week. I always consider that sort of chatter to be an inverse indicator. As an inverse indicator this sort of chatter will correspond to VIX moving back up shortly. On the other hand VIX futures prices seem to believe in a low VIX for the near term. The index dropped a little under 6% last week while the August futures contract was down 9%.
VXN is also toying around with very low levels finishing the week at 12.77 dropping only 1.24%. The low this year is 12.03 which also occurred in mid-March, so VXN below 12 would be a level to keep an eye on. VXN futures played some catch up to the downside this week as the August future was off over 8% and is now at less than a 1 point premium to the index.