VIX premiums are near 1 year highs

BY ANDREW GIOVINAZZI

June 22, 2025

If some of my Option Volatility Jargon is vexing, our Glossary is here.

AG’s alter-ego Vol Man here with my weekly analysis. As usual, I will start with my last forecast…

Last Week’s Big call

Last Week ending June 20:

The big if is the damage over the weekend. If Israel holds the field and subdues Iran, SPY will pop and VIX will collapse. The big if is also the shock to global oil supplies. My sense is Friday’s close for SPY is the low and we will move close to all time highs next week post Fed. VIX to 16 again by Friday.

Weekly Wrap up

I’d give myself a lamer than lame C-. SPY did rally to within a whisker of all time highs but VIX remained stubbornly elevated even with very little market movement. It did not help that Iran keeps launching missiles when they could be wiped off the map. That kept VIX high, Last Friday’s close was the low until Jun 20th.

The Iran/Israel thing is not going away and Israel is in the cleaning up the mess business right now. Gaza will be a non-factor and Iran soon will be too. It reminds me of the Godfather I where Michael Coreleone takes care of all the family business while he attends his son’s christening. The market is seeing Israel not backing down and that is making folks and oil prices nervous. That is dominating the markets currently.

As a sidenote, the BBB is still a turkey with the Republicans incapable of bringing spending back to 2020 levels. There are no emergencies and like the spending from 2001, 2008 and 2020, these government emergency spending bills never go away. They also keep inflation running hot and the Fed will not and should not cut rates. Congress still gets an F for failing to do their job.

AI and crypto are driving markets and I put together some AI adjacent stocks in Flash 5. I expect the 2nd half of 2025 to make a run.

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SPY daily price action over the last 30 days with 1 day candles

SPY Sigma (volatility per term) for Jul, Aug

SPY tickled $605 on mostly good news again but none of the geopolitical stuff really got settled. Israel and Iran dominated again so we wait for the outcome. The SPY ranges were pretty tight with Friday producing most of the selloff once again.

SIGMA volatility jumped to near 3 week highs after a big selloff on Monday.

SPX realized volatility snap on Jun 20, 2024

10-day realized volatility (HV10) dipped to 11.52 with the biggest close to close move the gap on Monday. The Middle East flare could only bring realized vol to 11.52 so not exactly the stuff of panic. For reference, 60 day realized volatility reaching back to late April is 32% so we are trading at a fraction of that level.

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VIX Volatility Curves

Closing VIX curve, Jun 13, 2024

Closing VIX cash and curve, June 20, 2025

The VIX curve flattened considerably into the close on Friday but kept its mostly contango shape. Usually that means traders are ambivalent about VIX direction for the following week but it will move big. We got an 18/21 range this week with all the Middle East news. The VIX July future at 21 with realized vol close to 11% is a crazy premium. Last week’s was worse just because the news hit on what was a collapsing volatility market.

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OP VIX Zone Watch

VIX ZONE 1 9-13

VIX ZONE 2 13.01 TO 17.99

VIX ZONE 3 18-23.99 ← We are here

VIX ZONE 4 24

VIX stayed in Zone 3 all week and never sniffed Zone 2. For reference we did not get one Zone 3 move close to close all week. That means SPY did not move relative to how much VIX was predicting.

I have a great trade set up for that already.

VIX 30 day chart with 1 min candles

VIX had one story all week and it waxed and waned. I think traders are buying protection and staying long stocks.

The Big Call

Iran is not really a threat anymore and Trump gave them two weeks to come to the table. Stocks liked that but in the short term with the Fed stance on rates and no real good BBB, there is thin gruel for a market rally. However stocks don’t sell off and I think that is the signal you want to follow. We retake 600 SPY next week but I don’t see VIX doing much until there is a break in the Middle East news so maybe 19.50 for VIX. If there is real Mideast progress we could see $610 or higher in SPY and oil gets a 10% haircut.

To Your Trading Success,

AG aka “Vol Man”