The S&P 500 and Nasdaq-100 were up just over 1.5% last week and continue on the path of putting up a great 2013. Despite 2013 highs, but VIX and VXN continue to be above 2013 lows. Both equity volatility indexes are at the low end of their historical ranges with VXN at 13.13 and VIX at 12.19. Despite not hitting 2013 lows with their respective markets making new highs I don’t think you can read too much into the absolute levels. At this point they are low and reacting to limited market volatility and a defined bullish trend.
There are many moving parts to the volatility markets and longer dated volatility in the form of VIX futures is telling a slightly different story than the spot market. The VIX futures that expire in February and beyond were all higher last week. The curve is pretty steep, but all contracts are under 20.00. VIX or near dated VIX futures above 20.00 has been recently associated with a worried equity market.
Finally, if you aren’t aware and are an insomniac, VIX futures are now opening at 2:00 AM Chicago time. Last week over 20,000 contracts traded in the early hours that coincide with regular market hours in Europe. We will keep an eye on the volume which is sure to grow.