VIX Backwardation Streak Updates

Despite a late day recovery for the equity markets, all three measures of backwardation remained in place as of yesterday (1/20).

The new front month is February.  VIX closed at 27.59 and the February VIX futures settlement came in at 24.725.  This is the 10th day in a row that VIX has closed higher than the front month future.

Spot - FM

The relationship between the front month and second month is most important to traders focused on the VIX related ETPs (VXX, SVXY, UVXY, etc) and the front month has closed at a premium to the second month every day this year.


Finally, the relationship among spot, the front month, and the second month remained in backwardation for the 10th straight day which ties this run for 3rd with several other ten day streaks in the past.

Spot - FM - SM

Finally, over the weekend I put up a video explaining this a little further –

VIX Backwardation Video