VIX Futures Weekly Wrap: New 67-Month Low in Historical Volatility (HV126)

It seems that with every week that goes by volatility sets a new record low of some sort.  This week was no exception as actual realized (historical) volatility of the S&P 500 over the past six months (HV126) hit 11.34, a 67-month low.

Spot VIX edged up on the week to 13.02 (+0.9%) while VIX futures all along the curve were pushed lower, with the spread of the term structure at the front of the curve (months 1 and 2) moving wider to -1.3 while the back end (months 4 and 7) compressed to -1.95.

Term structures:

XIV and ZIV remain bullishly biased given that the term structure is in contango and historical volatility continues to decline. As I mentioned in my article this week at Seeking Alpha, VIX can certainly move lower from here and take VIX futures and VXX with it. However, the risk/reward on inverse VIX plays such as XIV and ZIV is currently not very appealing and should be owned with extreme caution.

Weekly VIX ETF scoreboard:
- VXX:     -0.43%
- UVXY:  -1.04%
- XIV:      +0.32%
- ZIV:       +0.93%
- S&P 500: +0.31%

As a reminder, you can always see the current VIX futures term structure, past VIX futures data, and historical volatility on my VIX Futures Data page.

. . . . . . . . . . . . . .

Stay up to date by having posts sent directly to your RSS feed or Email.