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VIX Backwardation Continues - It's Not Over Yet
While oil prices are surging (global economic meltdown averted), stocks are back in the green on the week (crisis averted), and bonds are collapsing (not because of China selling according to the mainstream because "everything is awesome" again), we point traders' attention to the continued inversion in the VIX term structure. While well off the peak crisis levels, we have a long way to go to "normalized" levels of risk...
And once again today, we see 'signalling' in HFT flash moves...
Charts: Bloomberg
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No comprende...can someone explain?
Nah, it's over, good times are here again.
Trump will bring glory to America.
Yep, super awesome forever and the fairies and unicorns are dancing on Wall St.......
this is so fucking manipulated and so predictable.
vix wil be back at a 12 handle shortly and the nasdaq will be back at 5000 prob by tomm as all these fucking dogshit bankers go to the fucking hamptons
if it's so predictable you must be making money hand over fist. congrats.
THIS IS THE DEAL!
YOU'RE NOT JUST SOME MONKEY WITH A HAMMER!
https://www.youtube.com/watch?v=thJqmj5pFDg
Meanwhile, crude is up 9%.
Totally normal.
The bottom is in (all of the sudden) and the shale industry is saved.
And everything is totally 100% awesome.
I knew I should have gotten in on that trade.
You will get a chance again
Glad I filled my gas tank
May Wall Street burn to the ground.
Cue the wall street theme music. "Everything is awesome".
Just buy low and sell high. Don't worry about it. At least we had a week where people could finally make some money.
Tylers - I hope that you can find time to opine on my thoughts on the VXX. In fact, there's potential for this story to really gain traction.
By now we all know that the VXX has decayed quite a bit. We know why too: it rolls (mostly contango) /vx futures contracts forward. So yes, the backwardation of the futures contracts is now a tailwind. It's interesting, but what's MORE interesting is the timing of the VIX spike. However, what we have here is a spike directly after the /vx roll completed, so what we know (that the front month /vx will = the VIX at expiry), so the /vx didn't spike as dramatically as the VIX (duh), but what that also entails is that the /vx has quite a bit to go in order to reach the VIX, and although the VIX moves dramatically, if it doesn't drop fast, the /vx must converge with it at whatever ~27.5 in 19 days, so there's quite a bit of bullish bias with not only the backwardation, but it seems that the TIMING of the vix spike is important to the price of the VXX too.
Said another way, if anyone can message me the answer, here is question: where does the VXX end up if the same vix spike would have occcured 2 weeks later than it did?