And what an end to a ridiculous day, as indexes all ended the day above 2%, all on the ‘hope’ that the politicians will come to a deal. Funny, because Reid and Obama still are sticking to their guns that they will not negotiate on the Debt Ceiling until the Gov is reopened. Fun and games! S&P Futures exploded higher by almost 40 handles, closing up +36.45 handles at 1685.25 with 2.26MM minis traded. From yesterday’s low of 1640 to today’s session high of 1687.75, that’s a 47.75 handle move. 10-Year yield moved higher, climbing over 2.7% at one point. Gold was pushed lower by aver $20, taking the precious metal to 1284/oz. Remember one thing, we are NOWHERE near a deal, so be very careful.
VIX and VIX Futures absolutely murdered today. Spot VIX collapsed by -15.92% to 16.48. Session low came in at 16.29. VIX Oct Futures pummeled, down -3 at 16.38. VIX Term Structure has reverted. Premiums in the front month, which expire next week, collapsed, with some in the money strikes down over 2 bucks a contract.
VIX TERM STRUCTURE (vixcentral.com) Today
VIX TERM STRUCTURE (vixcentral.com) Yesterday and Today