By Chris McKhann
The VIX reverses course this morning, higher by more than 4%, while one metric shows a warning sign.
The volatility index is up to 18.27 but remains well below the VIX futures. The January futures are up 2% to 19.9, February is up 1.3% to 22.55, while March is another point higher than that.
I noticed something interesting in the volatility data yesterday as the VIX and VIX futures all fell. The VXV--the 90-day Volatility Index was on the rise. Unfortunately, it wasn't until after the close that I looked at the VIX/VXV ratio. Depending on how you look at it, that metric hit its lowest level since May 2008, or its lowest level over the last 2 years.
Either way, the lows in this ratio have come at market tops--in December 2007, May 2008, and August 2008. It did hit a higher low back in July of 2009 but was driven lower than that level yesterday.
(Chart courtesy of tradeMONSTER)
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