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VIX spike ahead?

Troy Bombardia
2020-10-20

There's a chance that volatility will spike as we approach election day. VIX's Put/Call ratio is at a level last seen during the GFC.

When VIX's put/call ratio was this high in the past, the S&P almost always fell over the next week...

... and VIX usually jumped over the next week:

Meanwhile, VIX's term structure (1 month vs. 3 month VIX futures) is starting to rise:

When VIX's term structure rolled upwards for the first time in more than 3 months, the S&P's forward returns over the next 2 weeks were more bearish than usual:

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