SPX futures are unchanged for the first day of the shortened Thanksgiving week. The week will bring a decent amount of economic data, however. Existing home sales, revised Q3 GDP, and a durable goods report lead the way. The market (S&P 500) rose 3% last week and logged its seventh winning week in the last eight. The spot VIX finished 15.47 on Friday. The VIX futures are a mixed bag this morning awaiting direction.
The VIX chart below shows the week-over-week that ended Friday. The term structure went from very flat to the more ‘normal’ contango structure by week’s end. The structure may steepen further given Thursday’s closed market and a half-day on Friday. Moving on into December, I wouldn’t expect your typical kink of a lower December VIX future relative to rest of the term structure. With a possible hike in interest rates and the constant threat of terror attacks globally, this year’s December should maintain a solid volatility floor. Hopefully, Black Friday will not live up to its name.
In the commodities world, the gold VIX (GVZ: 17.26) is a shade under the 5-year average (19.0). Silver 1M implied volatility (25.6) is in the bottom third of 5-year readings. Crude oil however, continues its high volatility regime with respect to the last 5-years. Right now it is in the top 10% of readings. This is to be expected given the rout oil has experienced over the last year and a half. 1M realized and implied are both trading right around 40%.