The VIX Index - often referred to as the market's "fear gauge" - is up over the past three sessions, as of 1:40 pm. in New York. At north of 16, it's implying that US stocks will tend to move more than 1 per cent per day over the next month. In recent years, it hasn't lingered above this level unless equities were weakening.
The higher reading belied the brisk advance of more than 2 per cent for the S&P 500 Index over the same three-day stretch. It's the first time implied volatility has failed to decline amid stock gains of this magnitude since 2009, when the bull market was in its infancy. The two variables tend to move in opposite directions.
During Friday's 1.1 per cent advance in the S&P 500, the VIX - which measures the 30-day implied volatility of the S&P 500 based on out-of-the-money options prices - also moved higher. That's despite the weekend effect that typically sees the gauge move lower on Fridays, and the passage of a market-moving event - the May non-farm payrolls report.
This marked just the 11th time since 2004 that the VIX advanced while the stock benchmark rose at least 1 per cent, according to Macro Risk Advisors derivatives strategist Vinay Viswanathan.
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https://www.smh.com.au/business/markets/wall-street-s-fear-gauge-is-sounding-an-alarm-20190611-p51wco.html