S&P 500 is close to all-time highs. VIX is at 17. VIX is a bit elevated. The clue lies in the VIX futures, which are significantly higher. In a typical bull market environment, they should be close to the VIX (in the high teens). In other words, the options market is betting on higher volatility over the next few months.
I’m with them.
This indicator, among others, tells me that when algorithms drive the market to all-time highs, instead of celebrating, I should hedge, trim my positions, or get out.
Dennis
