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Steeper U.S. Stock Swings Signaled Through VIX Futures: Chart

Steeper U.S. Stock Swings Signaled Through VIX Futures: Chart

Steeper U.S. Stock Swings Signaled Through VIX Futures: Chart
Trading on NYSE (Photographer: Michael Nagle/Bloomberg)
Steeper U.S. Stock Swings Signaled Through VIX Futures: Chart

(Bloomberg) -- Tuesday’s bout of U.S. stock-market volatility is in keeping with what many traders anticipated, if the futures market is any guide. The gap between CBOE Volatility Index contracts expiring in six months and the underlying index, the VIX, widened last month to its highest positive reading since September 2012. “Markets are pricing in greater risk premium in the next few months,” Pravit Chintawongvanich, head derivatives strategist at Macro Risk Advisors LLC, wrote Tuesday in a report.

--With assistance from Oliver Renick To contact the reporter on this story: David Wilson in New York at dwilson@bloomberg.net. To contact the editors responsible for this story: Chris Nagi at chrisnagi@bloomberg.net, Jeremy Herron