SPX Historic Volatility Falls To 6.89, Its Lowest Level Since Jan. 2011 – By Matt Moran

JUNE 23, 2014 – Today the 30-day historic volatility of the S&P 500® (SPX) Index fell to 6.89, its lowest level since January 2011, according to Bloomberg calculations.

VIX SPX Hist Vol 2010

Chris Dietrierich of the Wall Street Journal wrote –

“… The Dow Jones Industrial Average has gone 32 months without a 10% decline, the fifth-longest run on record. The S&P 500 hasn’t closed up or down 1% in 46 days, the longest stretch since 1995. Yet the number of outstanding options contracts that profit from a rise in VIX futures ended Wednesday at its highest level since January’s all-time high, at 8.1 million …”

Some investors have asked if the CBOE Volatility Index® (VIX®) Index recently has been at unusually “low” levels. Since January 1990, the long-term average of daily closing values of the VIX is 20.1, and the long-term median value of daily closing values of the VIX is 18.35.

On June 23rd —

  • the VIX Index closed 10.99,
  • the VIX Sept. ’14 futures closed at 14.60,
  • the 30-day historic volatility of the S&P 500 Index was 6.89.

So while the VIX Index at 10.99 is below its long-term median value, the historic volatility of the S&P 500 Index (at 6.89) is quite a bit lower than the VIX Index. The S&P 500 Index has been on a pretty smooth upward ride, and one could say that VIX is not particularly “low” if it is more than 4 points higher than 30-day historic volatility. For investors who want to lock in stock market gains and who think that in the near future the VIX could rise substantially with a correction in stock index values, strategies that could be explored include long VIX futures, long VIX call options, and SPX protective put options. This is the first week that VIX futures are available nearly 24 hours a day, five days a week.
For more information, charts and delayed quotes, please visit www.cboe.com/VIX and www.cboe.com/SPX.

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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