VIX Falls to Cheapest Since ’08 Before Earnings Reports

The biggest June rally in U.S. stocks since 1999 has pushed options prices to the lowest level before any earnings season in almost four years even as analysts predict profits will fall.

The Chicago Board Options Exchange Volatility Index, which tracks the cost of contracts on the Standard & Poor’s 500 Index, has lost 36 percent since its 2012 peak last month. It slipped 6.8 percent below the S&P 500’s 20-day historical volatility, a measure of actual swings, on July 6, data compiled by Bloomberg show. That’s the cheapest contracts have been one trading day before Alcoa Inc. reports profit since October 2008.