The CBOE Volatility Index (.VIX) is up 2 points to 27.35 and not far from session highs, as bearish economic data and increased activity due to the end-of-quarter “window dressing” add some volatility to the mix Tuesday. A report on consumer confidence index, which fell to 49.3 in June, from 54.9 (vs. 55.3 consensus), served as a catalyst for the morning slide and, as the major averages faltered, VIX began a move higher.

Thursday’s payroll numbers now loom and with thin trading due to the holiday (markets closed Friday), volatility might continue into the three-day break. Investors will get a first look at the jobs situation courtesy of ADP’s private sector report due out Wednesday morning. Construction spending, pending home sales, the ISM manufacturing index, crude oil inventory data, and auto/truck sales could add some fun to trading tomorrow. Given all this “event risk”, it makes sense the VIX is moving higher midday Tuesday.


Meanwhile, the actual volatility of the S&P 500 (20-day statisical volatility) has dipped below 20 percent. So, VIX back above 30 would indicate that investors now expect significantly greater volatility in July, compared to what we have seen during the month of June.