I have been banned from CBOE until next year due to an abundance of days off. However, I can still play with numbers and I decided to take a look at what VIX does on average between the last trading day before Christmas and the first trading day of the following year. This first chart takes the average action from 1990 to 2015. I found it pretty interesting that on average VIX actually rises (18.46 to 19.87), but upon further reflection the dampening impact of holidays getting out of the way may provide a boost to spot VIX.
Chart number two takes the January VIX futures price action from the last trading day before Christmas through the first day of the following year. I used Jan VIX futures pricing from 2005 to 2015. Behold! It appears the futures actually drift lower over this time period. In fact the average pricing drops from 18.90 to 18.37.
Finally, I decided to check on spot VIX over the 2005 to 2015 period relative to the Jan futures. The uptrend in VIX held up over this different time period with an average rise from 16.79 to 17.79.
So despite the average gain in spot VIX, the futures actually have dropped on average through the holiday period. If you are trading any VIX derivatives, the futures are always a key market to pay attention to and the story from Christmas to the new year is different in futures world than index world.