S&P 500 And The VIX Backwardation by Jennifer Thomson, Gavekal Capital
Over the last couple of weeks, we’ve seen the VIX spike above the 3-month VIX– an occurrence that typically coincides with stock market weakness, as we can see in this chart:
It's no secret that this year has been a volatile one for the markets. The S&P 500 is down 18% year to date, while the Nasdaq Composite is off by 27% year to date. Meanwhile, the VIX, a key measure of volatility, is up 49% year to date at 24.72. However, it has spiked as Read More
For now, investors’ appetite for increased protection remains relatively subdued and well below levels reached during significant market declines in 2009, 2010, and 2011. However. any further inversion (whether in magnitude or duration) would heighten the risk of a more meaningful correction.