Volatility Futures Reach 19-Month High on S&P 500 Rally
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Futures traders are pricing in the biggest increase in U.S. equity hedging costs since 2010 after the Standard & Poor’s 500 Index rose within 2 points of erasing last year’s slump.
April futures on the Chicago Board Options Exchange Volatility Index settled at 25.15 yesterday, or 6.96 points higher than the level of the gauge, according to data compiled by Bloomberg. The gap widened to 7.02 points on Feb. 17. The last time two-month futures were that high in relation to the index known as the VIX was July 2010.