VIX Futures Snapshot

By admin, 2020年7月7日

Andtodayssnapshot:

Normally,whenvolatilityislow,youwillseethefrontmonthVIXfuturescontractsdeclinemorethanthebackmonth?

Butwhatweveseeninthepastweekisthebackendfuturescontractsdeclinejustasmuchasthefront?

TheFebandMarchcontractsaredowncloseto1point,andsoaretheAugandSeptcontracts。

GiventhathistoricalrealizedvolatilityintheSPXindexhasnotbeenabove20formorethanayear,thebackendoftheVIXfuturescurveisstillpricinginasubstantialincreaseinvolatilityoverthenext6monthsrelativetorecenthistory?