Steeper U.S. Stock Swings Signaled Through VIX Futures: ChartBy
Tuesday’s bout of U.S. stock-market volatility is in keeping with what many traders anticipated, if the futures market is any guide. The gap between CBOE Volatility Index contracts expiring in six months and the underlying index, the VIX, widened last month to its highest positive reading since September 2012. “Markets are pricing in greater risk premium in the next few months,” Pravit Chintawongvanich, head derivatives strategist at Macro Risk Advisors LLC, wrote Tuesday in a report.
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