Although the VIX volatility index was up only slightly on Wednesday, it was enough of a gain to raise some eyebrows.

After all, the VIX is considered a fear gauge for the S&P 500, and tends to rise when investors are concerned about a spike in volatility at the benchmark index. It zoomed to a record high above 80 in November, on concern that the stock market had imploded, and persisted above 40 until April.

Since then, however, it has slid lower and lower as the stock market stabilized and investors grew more confident that the wild swings in the S&P 500 were a thing of the past. The VIX slid to just 25 on Tuesday.

On Wednesday, though, the VIX was up 2.7 per cent in the afternoon, even as the S&P 500 was also up 2.7 per cent - a positive correlation that has occurred only 6 per cent of the time since 2003, according to Bloomberg News . Following this positive correlation, the S&P 500 has fallen 66 per cent of the time the following day. (They're getting their information from Charles Schwab Corp.).

As well, Bill Luby, who writes the VIX and More blog , pointed out that volume in the iPath S&P 500 VIX Short-Term Futures ETN (which gives investors exposure to the VIX volatility index) spiked on Wednesday afternoon to 1.4 million shares - a record in its short history, which suggests that some investors are betting that volatility is about to rise.

What's going on here? It could be that investors are growing nervous about Thursday's data on U.S. initial jobless claims.

Mr. Luby has another thought: "With the meat of second quarter earnings season just around the corner and options expiration only two days away, I would not be surprised to learn that portfolio managers are looking to lock in some profits and add some additional downside protection."