Jan 19, 2013

Week In Volatility

How low can we go? US markets up slightly, and volatility indexes declined even further. Around the world volatility indexes were more mixed: VIX fell by 0.9, while VSTOXX in Europe rose 0.31, RTSVX fell 1.03, VHSI up 0.22, and VNKY up 3.75.
P.S. There are dynamic charts below; sometimes not rendered inside google reader but should be visible on the website. Email me if you cannot see the charts.


  1. Alex C1/20/2013

    The Jan 2013 future expired Wednesday morning, yet your chart shows it "priced" at 13.65. That point on your curve is not correct. The nearby VIX future is Feb 2013.

  2. Thank you, Alex. I fixed the charts.