# Volatility Is Volatile, Even When Its Term Structure Is Flat on the Short End

## The Correction Starts Getting Long, But Not Deep

Today is the 10th trading day since the S&P500 all-time closing high (21 May). This correction is getting serious, at least from the 2013 perspective and in terms of duration, but not so much in terms of size. At 1630 we are still less than 40 points below the all-time closing high and less than 60 points below the intraday high. It would only take 2-3 solid up days to get there. However, looking at the upcoming macro data (especially NFP) and other potential factors, the odds of higher volatility are probably above average for the next few days.

## VIX Volatile Intraday

End of day changes in the VIX in the last two days (-0.02 and -0.01) can be misleading if you don’t look at the intraday charts. Intraday range in VIX has been well above 1 point on each of the last three trading days. The index is above 16, which makes these days the third biggest 2013 spike in VIX. Compared to the previous two spikes (February and April), the increase in VIX to get there seems much more gradual and orderly (no +4 or +5 VIX days this time, so far).

## Short-Term Volatility Expectations Flat

Volatility expectations for the next 1-2 months are quite flat when you look at the CBOE VIX Term Structure or at the VIX futures curve. At Tuesday close the values were the following: VIN 16.34 – VIX 16.27 – VIF 16.23 – June VIX futures 16.10. This level is way above the volatility realized in the last month on S&P500 (9.77% annualized 21 trading days, non-centered).

## Big Jump in VVIX

Volatility of volatility, measured by the VVIX index, has also been very volatile recently (yes it’s volatility to the power of 3). The index jumped almost 13 points from Friday noon to Monday noon. Yesterday it fluctuated between 86 and 90.