Weekly Review – VIX Futures and Options – 1/11 – 1/15

Two tomatoes are walking down the street, momma tomato and baby tomato.  Baby tomato can’t keep and momma tomato keeps getting angrier and angrier.  Finally she stops, turns around and stomps on baby tomato.  She then states, “Catch up”.

That’s what the VIX futures did this past week, with the stock market playing the role of baby tomato and getting stomped on.  When the dust settled this week VIX was actually up by 0.01 with VIX futures narrowing the gap.  January, which settles on the open this Wednesday, gained 4.75% closing at a slight discount to spot VIX.

VIX LT Curve

The theme for the short term VIX chart below is “The Twist” as the generic charts were lower or higher depending on the time frame.  In general the angle of the curve remained pretty much the same.VIX ST Curve

Mid-day Friday there was a trader who came in and purchased about 25,000 of the VIX Jan 35 Calls for 0.33.  This occurred with VIX around 28.10, higher than where we finished the week.  The payout at January settlement, which again is this Wednesday morning shows up below.