Weekend Review – VIX Options and Futures – 3/7 – 3/11

VIX dropped just over 2% which isn’t that much considering we got a 1% rise in the stock market.  The curve remains in a fairly common state of contango.  Standard March futures settle Wednesday on the open and the spread of over a point also makes me wonder if volatility traders are buying into higher stock prices.

VIX Curve Table

I did a little more digging on VIX price action, really just looking for the 2016 intraday-low which I assumed occurred last week.  I assumed wrong.  The low was actually the previous week as can be seen on the chart below.  It’s very slight, but a divergence in trend between VIX and the S&P 500 is usually not good for the S&P 500 when they are both positive trends.

VIX Daily Chart

Early Friday I came across a trade using the VIX Weeklys expiring on the open March 23rd.  With VIX at 17.04 and the market for the March 23rd VIX Futures about a point here there was a seller of the VIX Mar 23rd 17 Puts at 0.41.  VIX did move lower over the course of the day and finish at 16.50, so it’s not a good start for this trade.  The hope here is for VIX settlement a week from Wednesday to come in higher than the strike price of 17.00 and have the contacts expire with no value.