Weekend Review – VIX Options and Futures – 2/22 – 2/26

For the past few years I’ve struggled with things to write when there has been a parallel shift in the curve.  This week we got the first normal curve change of 2016 so there’s that to say.  Kevin Davitt, who is relatively new to The Options Institute keeps noting that the far end of the curve is as flat as he’s ever seen it.  I have to agree and when he inquire how I read things like that I noted that when the curve is flat it indicates a ton of uncertainty and these days I don’t think we need the curve to tell us that.

VIX LT Curve Table

On Thursday as VIX was making 2016 lows at least one trader feels like VIX will not be exceeding 2016 highs.  At least not for the next two to three weeks.  Specifically there was a seller of the VIX Mar 16th 30 Calls at 0.43 who also purchased the VIX Mar 16th 35 Calls for 0.18 taking in a credit of 0.25 and a risk exposure that is represented by the payoff diagram below.