As we have stated, the SPX and the VIX are acting quite differently than the last time around. ?Previously, ?when the SPX was near 1840 ?the VIX was below 13, ?closer to 12.50. ?Now, with the SPX back at 1840 (getting there in a hurry), the VIX is between 13.75-14, and has not been able to break 13.50. ?In fact, adjusted for underlying price, ?SPX IV has basically stopped falling over the last 25 points or so. ?Take a look:


Livevol (r)?

When all is well, the SPX and SPX IV move in opposite directions, ?typically one is not flat while the other climbs. ?Remember 14% of 1840 is a higher vol than 14% of 1800. That is the key to understanding the VIX.

The Trade:

With realized vol high and IV flat, ?time spreads might make some sense, as could some sort of vega hedged long gamma spread.