Yesterday I had someone say something about it being a Sunday. Of course it was Thanksgiving which fell on a Thursday this year (as in every year). When you have lived your life around market hours as long as I have anything outside of a normal week throws you off. Maybe the unusual market hours this week caused VIX to react in a strange way as well. The S&P 500 was up slightly, but so were VIX and the long related exchange traded products as well.
On Wednesday CBOE introduced the latest volatility index that is based SPX option prices. The CBOE Mid-Term Volatility Index (VXMT) measures the expected volatility of the S&P 500 Index over a 6-month time period. VXMT joins the CBOE Short-Term Volatility Index (VXST – 9 Day), CBOE Volatility Index (VIX – 30 Days), and CBOE 3-Month Volatility Index (VXV – 93 Days) to offer a group of indexes that may be used to represent volatility at key points along the SPX term structure. The chart below shows the week over week change for VXST, VIX, VXV, and VXMT.
Note the shorter end of the curve was pretty active rising more than the volatility indexes that represent longer time frames. This can be interpreted as there being some near term risk concerns regarding the S&P 500 relative to a longer term outlook.