Over the last two years, the VIX future calendar spread has bounced from around -.1.5 - 2.0 into backwardation quite a bit like clockwork. We can also look at the VIX/VXV ratio, which is also nearing a bottom, as well as the VIX getting close the 12s again. I would look for a short if the market can break a bit higher and push these measures all down a bit...
Looking at the chart you can see that the CL future spread is reaching an extreme we have not seen since 2011. This is interesting because it is an alternative way to play crude with less risk. I do believe this spread has some more room do the down side. But keep an eye on it because once crude finally does bottom and spike to the upside, this spread should also...
It's been interesting to watch the VX futures structure in 2013 until now. It seems that the VX spread - front month minus backmonth - has been getting more expenses as the market continues to make new highs. I try not to read too much into this but to me this mean investors and traders are willing to pay more for near volatility than longer-term. Perhaps this is...
With market weakness the week, WFM has been holding up quite well; it has managed to stay up on Friday, despite a 30% + VIX spike.
Option IV is close to the 96th percentile, making premium rich and a possible range trade seems to be setting up.
I sold the FEB 40-45 put - 60-65 call Iron Condor on Friday about .34 cents mid. It is about 1.5 STD outs. Looking...
Looking at VVIX, VIX debit call spreads for OCT are getting cheaper. ES futures look to be topping. Eyeing a nice long entry in the VIX once VVIX gets down a little lower and hopefully VIX hits 12 something.
