VIX on this day

26 Mar

The chart attached illustrates the level of the VIX, and VIX futures curve on March 26 in each of the last 6 years (source: Vixcentral.com), and although it doesnt include some of the earlier history of the VIX, its pretty interesting.

VIX On this day

A few observations jump out :

– The current level of the VIX and VIX futures curve is pretty similar to where it was in March 2007, other than a slightly more upward sloping futures curve now implying a higher cost of carry of a long VIX futures position

– Indeed the development of a clear upward- sloping bias to the VIX futures curve is something that’s happened since 2009. No doubt the launch and strong asset inflows into VIX ETPs such as the VXX, which follows a systematic strategy of buying VIX futures have fuelled this

– Its quite surprising looking back that in March of 2008 there was actually a downwards sloping bias to the VIX futures curve, perhaps an indication of the complacencies that existed at that point in time.

– The most upward sloping futures curve of the time points studied was in 2012, where there was a massive 7 volatility points difference between the first and fourth futures (15 vs 22)

– what we saw between 2010 and 2012 was overall a very slight move down in the level of the VIX and the front month futures (although with notable spikes in May 2010 and August 2011 – see second chart), but the longer term futures remained at eleveated levels

– What we’ve seen in the last 12 months are these longer term VIX futures also falling, the VIX itself has also fallen, but by much less

VIX0713

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

w

Connecting to %s

%d bloggers like this: