bbTYVIX Update Header

Volatility feeds off fresh news, especially the bad headlines, and it appears news of the economic slowdown in China and of its impact on emerging markets has been fully digested. It is also clear that central banks will continue to pursue stimulative policies until further notice. In the absence of further shocks, the VIX, TYVIX, EUVIX, BPVIX and JYVIX indexes turned cooler this week.  As the VIX Index decreased, its term structure came closer to contango.

Figure 1.  Weekly Update -- Volatility IndexesnbFig1 10-9-15

Figure 2.  Term Structure of VIX, TYVIX Indexes and Futures nbFig2 10-9-15