The VIX has continued its strong uptrend this morning, so far tacking on an extra 2.5% percent.  The RVX has jumped even more dramatically over the past days, adding 3% so far this morning, as the market expectation of short-term locked interest rates must result in harder financial conditions for small caps than for large caps.

    IWM is currently trading at $83.10, with puts at $83 and $84 trading up 14% and 20% respectively.  SPY is currently trading at $151.62, with puts at $151 and $152 trading up 13% and 12.5%.  The options market remains somewhat confused, however, as is visible on the SPY $152 puts, which has traded between -10% and %20 from prior close in the first hour of trading.

    In my opinion, in order to signal that the market has returned to comfortable levels, the convexity of the SPY/IWM return ratio needs to flip down.  I'll be watching the one- and three-month charts for this.