As we go into June there is blood in the streets and 7% contango on the VIX term structure.

Yet vol remains bid.

suko 

[*NOTE: this discussion deliberately leaves out TVIX, which does not have options and which went from $36 to over $1000 during March. It's a tainted product.]

TVIX is so frequently dislocated from it's fair value and has interesting path dependencies. Why avoid it?

TVIX has been viewed as a broken product in the vol space since 2012, so vol traders steer clear of it.

I am surprised it did not get delisted during this latest incident. SEC should have pulled its certification.

For sure this is not the last time there will be problems with TVIX.

Speaking of which, CS has announced the delisting. Good riddence, TVIX.

Looks like VIIX and ZIV are also getting the axe.

https://www.thestreet.com/etffocus/market-intelligence/tvix-gets-delisted-a-few-days-after-its-the-most-added-security-on-robinhood

Regarding the demise of TVIX, the conventional wisdom among vol traders since Volpocalypse wiped out XIV back in 2018, is that basically you've got VXX and that's it. All the other vol products are garbage.

VIX settle for July is 24.84.

Just a scootch further and we will be out of Zone 4 and into 3 for the first time in six months. Zone 4, call it the "Red Zone" starts at 23.

I guess we'll see some VIX upside for awhile, going into August.

Screen Shot 2020-07-22 at 12.25.14

Ok now the JUL future roll-off is registering.

So, this term structure is not at all normal, but the front end looks kind of normal.

NOTE that the value between M1 and spot VIX at exactly one month out is usually 2.0.
This time it's 2.75 so normally that would be some serious edge for shorting the futures.

Screen Shot 2020-07-22 at 13.11.12

Now that August is over and money managers have their plans in place, let's look at the VIX term structure.

M1 to M2 contango is over 18% and the difference is 5.25 points. Extreme. This has never been seen before.

There is more fear among money managers now than even when Warren was a viable contender.

So, how would you position for this as a retail trader? The usual answer would be time spreads, but those are forbidden for VIX.

SPX call prices vs put prices mint new highs.


Source: Spotgamma

suko

M1 to M2 contango is over 18% and the difference is 5.25 points. Extreme. This has never been seen before.