During a sideways week of
indecision for the broad US equity market (SPY down 0.2%), it can be helpful to
break down the movement in VIX futures to provide some insight into market
sentiment.
VIX Futures Weekly Performance
Dec-12
|
Jan-13
|
Feb-13
|
Mar-13
|
Apr-13
|
May-13
|
Jun-13
|
5.0%
|
-0.3%
|
-0.5%
|
0.5%
|
0.7%
|
0.7%
|
0.9%
|
Front month VIX futures rose
5% as traders bought some downside protection in the event that congress does
not come up with a positive deal on the fiscal cliff. The price and recent movement of January futures
and beyond indicates that most traders are not particularly worried about long
term effects of the discussions. If no deal is reached next week it is likely
that we’ll see a move higher in January VIX as well as traders start rolling
over protection to replace December options.
