I was traveling a bit last week and not 100% focused on the markets. After my crack intern emailed me last week’s data for the weekend blogs I was pretty surprised to see that the high for VIX last week was 11.86. VIX below 12 usually gets people’s attention, but I guess that is becoming old hat. However, seeing that we never broke above 12 got me digging into the data.
It turns out the last time we had VIX below 12 for a full week was in late February 2007. The specific date was February 23, 2007 and VIX closed the week at 10.58. However, there were several weeks leading up to that date in February where VIX remained under 12. I switched from weekly data to daily data and found that for 31 trading days (January 11, 2007 to February 26, 2007) the daily high for VIX remained below 12 as can be seen in a very dull daily price chart below.
By the way if I added one more day to this chart you would see that on February 27, 2007 VIX ran up to 19 during the day and closed at 18.31. The point behind this is that VIX can continue to plod along at low levels, but a 50% move can always be just around the corner.
The most excitement on the VIX curve may be attributed to the June contact which dropped a little over 4% on the week. The best explanation for this is that as VIX stayed low, the June VIX future just moved a bit lower as time to expiration starts to become an issue.