Daily Options Report

Just to put the 17 VIX into perspective, remember you can convert the action in a given day's SPX or SPY and convert it to a historical volatility.

It's very simple. Take the range of the day. For these purposes, I'd define that as the greater of the hi/lo split or the high(low) minus (plus) yesterday's close. For today in SPY, that's 45 cents right now (114.52-114.07). Then, turn that into percentage move. Today, that's .393%. Finally, multiply that by 15.87 to convert it to volatility terms. 15.87  being the square root of 252 (the number of trading days per year).

Throw it all together, and today's move translates to a volatility of .......6.25.

It's just back of the envelope, and merely one day. But let's say we rocket up to 10 volatility tomorrow and the next day. The VIX overweights OTM puts a bit, so add a few points to that, and it suggests this kind of action translates to a VIX of something like 13. But alas the VIX is 17.66 and everyone's crying complacency.

And there is complacency, it just has little to do with the VIX, it's the utter dearth of volatility in the market itself.