A lot went on today as the Greece thing seemed to come to a head. Below are some highlights with respect to the CBOE Volatility Index, the S&P 500, and the Russell 2000 with respect to the reaction of global markets to the news out of Greece.
Spot VIX rose just over 34% and the front month July futures contract was up almost 20%. Volume in VIX futures appears to have topped 400,000 for the first time this year. July and August settled within a tick of each other which is a positive for the long ETPs since they won’t experience any grind lower due to the common contango situation.
The VXST – VIX – VXV – VXMT curve went from slightly inverted to very inverted today. VXST rose 45% to 22.56 which is the highest closing price for that index since mid-January when it topped 23.00. VIX at 18.85 is the highest level since early February.
The table below sums up the day with the S&P 500 down over 2%, which places this index slightly in the red for 2015. Something else worth highlighting is the VIX of VIX which rose to 117.00, a clear indication that demand for VIX options rose in line with the rise in the index today. In the ETP space VXX came into the day about 65% weighted in July VIX futures and 35% in August contracts which resulted in a 17% gain in the fund. As expected on a single day basis TVIX and UVXY were both up twice that much for a whopping rise of about 34%.
As mentioned before, VIX rose 4.83 points to 18.85. The CBOE Russell 2000 Volatility Index gained 4.32 to finish the day at 20.50. Those who visit this space often know that I focus on the RVX / VIX premium as an indication of risk perceptions of small cap versus large cap risk. RVX finished the day at a premium of 8.75% to VIX, down dramatically from Friday when the premium was over 15%. This is the first single digit premium reading for this relationship since January 15th.
It was an exciting day all around and the heightened levels of volatility indicate the market expects a little more volatility before this chapter of the Grexit story is complete.