Just like we said in yesterday’s Market Wrap, expect VIX to stay elevated until a deal is rumored to be around the corner, or unless progress is made. Well, VIX is now above 20, as lack of progress by both sides, and continued non-negotiation by none other than Obama, has sent the market lower yet again. Nasdaq is down the most, down -1.75%. S&P futures (ES) opened pretty much unchanged, climbed 2 handles, then went into sell-off mode. ES is bouncing off the lows, down -9.95 handles at 1657.75 with 1.57MM minis traded. Session high came in at 1671.50, and session low at 1653.25. We are below the 50 DMA, and close to the 100 DMA which is at 1652. VIX opened at 19.01, and is currently up +4.64% at 20.31, with a session high of 20.26. VIX Cash is now well above the March VIX future. Obama is due to speak at 2PM EST, so watch your stops.
VIX TERM STRUCTURE (vixcentral.com)