In the early 90’s there was a fun movie starring Steve Martin called L.A. Story. Martin played a weatherman and in one scene he tapes the weather report ahead of times since the weather is always the same there. I kind of feel the same way about these VIX blogs. The pattern of the S&P 500 moving up some and long VIX strategies grinding lower seems to be recurring. Of course in L.A. Story, when Steve Martin tapes the weather a big storm comes out of nowhere and drenches southern California.
The S&P 500 continues to defy gravity putting up new highs. VIX still has not jumped on board with a new 2013 low yet. The key word is yet. Due to some calendar quirks there will be a little headwind in the next few weeks that could result in VIX dipping to a new low. All of us vixophiles will be waiting to be the first one on twitter to announce the new low. Odds are I will be on a plane heading out to spread the good word on VIX on behalf of the CBOE.
The one thing that stood out for me while looking over this past week’s numbers was the performance of VXV and VXZ. It appears near term the volatility indexes see smooth sailing for the equity markets. However, when looking out to 2014 there is some risk creeping into longer dated VIX futures and the longer dated VXV index.