I did not record the timestamp on that snapshot but I believe it was 15 minutes or so before the close.
As of 3:03 PM the S&P rallied back towards even as did the VIX. Curious behavior to say the least.
What's Going On?
I don't know, but here are some theories.
- Hedge funds and pension funds doubling up on short volatility trade.
- Manipulation against Mr. 50-Cent VIX.
- Pure complacency. No one wants PUTs.
Points 1 and 3 are more likely.
Short Volatility Trades
I wrote about short volatility trades twice recently.
December 6: "Everyone in the Room is Selling Volatility"
"Volatility was once just a measure. Now it's an income-generating product. Everyone is selling it says Pennant Capital."
These short-volatility pension fund managers will get blown out of the water one day.
Mike "Mish" Shedlock