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Where We Stand in Volatility


VIX has nudged up, but there's no other evidence of an actual uptick.

Well, not all that much has changed lately. The VIX acts a bit better as it's rebounded from the mid 23s to 26 or so. On one hand, that's 10% -- wahoo! But on the other hand, it's just 2.50 points or so. I'd define any move from any level within a point as mere noise (yes, even a pop from like 10 to 11), so it's not all that cosmic. But it's improvement.

But like I always say, VIX isn't the only measure of volatility out there.

Individual stock implied volatility remains in the tank. The best you can say is that like the VIX, it's generally a tad off the lows. But you really need to squint to see anything resembling an options rally. Here's Potash (POT) and it's fairly typical. It's a few points off the volatility lows of last week, but still in the deep doldrums -- much like the VIX, except these lows are 52-week lows (SPY volatility, for example, hit 18 last August 28 and is 23 now).

Realized volatility barely shows a pulse. SPY stock's 10-day historical volatility is about 13 now -- way below the 23 implied volatility in the options that I just mentioned.

And remember when VIX futures kept predicting a rally? Well, the modest uptick in VIX was met with gradual selling in the nearer-month VIX futures, and thus a meeting in the middle. At least in August so far as September still carries a bit of a premium.

Bottom line is, while the VIX has nudged up, there's no other real evidence out there of an actual uptick in volatility about to happen.
No positions in stocks mentioned.
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