The S&P 500 was hardly changed on the week last week and the same may be said for VIX and the monthly term structure.  The lines don’t overlap, but if I am not wearing my reading glasses the chart below almost looks like the same line.

VIX Table

The only thing of interest to report about the short term futures chart is the dip that shows up on the orange line below.  That’s the contract that expires just before Christmas which may be discounting several holidays which will figure into implied volatility of SPX options expiring after three market holidays.  We always would witness a little discount in the traditional December contract and now it is showing up in the Weeklys as well.  Note that this is a generic chart and last week (the black line) this contract was Week 5.  It'll be interesting to watch it move across the chart from week to week.

VIX ST Curve Table

One trader is betting that no black swans show up over the next few weeks.  On Friday there was a seller of the VIX Dec 26.00 Calls at 0.22 who purchased (for protection?) the VIX Dec 37.50 Calls at 0.04 for a net credit of 0.18.  All is well with this trade as long as standard VIX settlement is not over 26.18.  Things get pretty ugly if VIX returns to the upper 30’s for the holidays though.