On Friday VIX rose as the S&P 500 hit the 52nd record high of 2014. I got a question via Twitter about VIX rising when the S&P 500 rises. About 20% of trading days witness VIX and the S&P 500 moving in the same direction, but when the S&P 500 is making a new high it may turn some heads. I think part of the small rise in VIX on Friday may be attributed to the holiday impact on the VIX calculation. What I mean by that is when we closed Wednesday the markets were closed for a day and a half. The VIX calculation only takes calendar and not trading days into the equation. This causes VIX to be under a little extra pressure in front of weekends and more so in front of long weekends. A bit of the upside in VIX on Friday may be attributed to the holiday being behind us. What makes me pause a little is that VIX closed Friday at 14.50 when the average VIX close this year on S&P 500 record days is 12.48 this year. VIX two points higher than that average as we make another new high would be more concerning to me than the rise of VIX on Friday.

VIX SPX Record Dates

The VIX did drop about 12% or 2 points last week as the S&P 500 moved higher. Despite the 12% drop in VIX the January VIX future was down about 1/3rd as much as VIX. A week ago there was no real risk premium in shorting the January future, over the course of 3 ½ trading days that premium returned.

VIX Curve