Tomorrow morning we will get the settlement print for the August 26th VIX Weeklys Futures contract. You never know how a product is going to trade until it is set free upon the marketplace. The assumption with respect to VIX Weeklys Futures was that the nearest expiring contract would closely track price action in spot VIX. The past couple of days has been a heck of a time to test this out, but so far it appears the expected price behavior of the nearest expiring future in line with expectations. The chart below is a five minute price chart using the mid-point of the August 26th VIX Futures contract and spot VIX running from the market open last Wednesday August 19th through the close today.
The red line represents the price action for the Aug 26th contract and the blue line shows the price action for VIX. At times they disconnect slightly, but even with the excessive volatility in the markets over the past few days they tend to move in sync with each other.
Finally, for full disclosure, there is a small gap in VIX data from the open on Monday. This was discussed in the blog linked at the end of this posting. However, note that the VIX Futures contract was a fairly decent predictor of where VIX was initially quoted shortly before 9:00 am Chicago time on Monday.