VIX Discrepancies: Futures vs. Spot Market

On August 5th, the VIX, the volatility index of the S&P 500, reached 65, a level we had not seen since the pandemic crisis.

However, according to JC Parets, the VIX futures contract was rather at 37, a high level but far from the extreme level reported by the VIX mentioned in the media.

This is why Nick Colas from DataTrek reminds us of the importance of following the futures contract rather than the spot market for the VIX, due to its better liquidity and continuous trading.

Indeed, the gap between these two values (37 versus 65) is mainly explained by the lack of liquidity in the VIX on the spot market.

Source: The Compound. Only One Factor Drives Bitcoin Prices and This is it, August 19, 2024.