It's CBOE Volatility Index (CBOE: VIX ) Expiration Day tomorrow
(VIX-piration?). That means the May options and futures in VIX cash out on
Wednesdays opening settlement price. All sorts of individual stocks and
commodities look incredibly ugly lately, but the volatility backdrop looks
pretty eh right now. Heres the S&P 500 Index Options (CBOE: SPX ) 30-day
implied volatility vversus 20-day historical volatility. Options have carried a
pretty consistent four-to-five volatility-point premium over the volatility of
SPX itself. Which is pretty much normal, especially with volatility in general
at non-exceptional levels. So in other words, this recent ugliness under the
surface has caused only a modest lift in historical volatility and a perfectly
in-line lift in options premiums. VIX futures havent moved much either. Heres
how the board looked on yesterdays close. Basically, VIX rose a bit, but futures
barely budged. June now carries a scant .70 premium. Whats more, the curve is
not particularly steep as the outer-month cycles carry under $5, down from
premiums in the $7-$10 range. It all says that theres not a real "Fear"
spike just yet in Big Cap stocks. None of this would be at all interesting or
noteworthy if we didnt have volatility coursing through other asset classes.
Hhistorical volatility in the SPDR Gold Trust (NYSE: GLD ) has doubled in the
past few weeks, albeit from a low base. The iShares Silver Trust (NYSE: SLV )
volatility has quadrupled. Whats more, 10-Day HV in the iShares Russell 2000
Index (NYSE: IWM ) has lifted from seven to 20 in the last month. If you
anticipate any of this spilling over into VIX World, the iPath S&P 500 VIX
Short-Term Futures ETN (NYSE: VXX ) and the iPath S&P 500 VIX Mid-Term Futures
ETN (NYSE: VXZ ) look OK here. With premiums muted in the VIX futures, VXX will
not get plowed on Contango (rolling out to maintain 30-days duration). VXZ
covers four-to-seven month VIX futures and thus does not have quite the same
sensitivity to VIX moves, but with premiums out there muted it looks OK as well.
Follow Adam Warner on Twitter @agwarner .
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