VIX Close Below 42 Is Lowest in Three Months

The last time the VIX closed below 42.00 was way back on October 1st, when the VIX closed at 39.81.

Before anyone gets excited about the possibility of the VIX back in the 30s, I should note that the VIX futures continue to reflect expectations of a rising VIX over the course of at least the next 2-3 months. Yesterday’s VIX January futures settled at 44.18 and the February futures settled at 45.08. Futures for August through October are now priced in the 37-38 range, however, suggesting that volatility expectations are being lowered for the second half of 2009.

Comments

[Moon Kil Woong:]

As reflected yesterday where volume was about 40% lower than normal, where there are no buyers or sellers there is no volatility. Of course if it gets bad enough there is also no market...

A good example of this is the CDS and junk bond market. Thanks to our great SEC and regulators banks and others are free to make up whatever number they like for the value of these assets (all in the name of protecting the economy and you). I don't feel so protected by Base I accounting and banks off balance sheet losses that no one can see until they implode. Do you?

2008 Dec 31 02:56 AM