VIX was little changed last week as the S&P 500 moved higher.  When VIX has a ‘10’ handle and stocks move higher we tend not to see the sort of reaction we might see if VIX were at higher levels.  The most interesting thing below is the front two month futures contracts.  February, which goes off the board this coming week, lost 6% playing catch up with spot VIX.  March dropped almost 4%, but is still at a premium of about 2.50 to spot VIX.

VIX Chart Table

We get a heads up periodically from the VIX pit when an interesting trade pops up.  On Friday, we got a note about the following trade with four legs to it.  There was a seller of the VIX Mar 13 Puts for 1.00, VIX Mar 13 Calls for 1.50 and VIX Mar 20 Calls for 0.55 who then used some of those proceeds to purchase the Mar 15 Calls for 1.05.  All this buying and selling resulted in a credit of 2.00 and a payoff at March expiration that looks like the diagram below.

VIX PO

VIX between 11 and 15 results in some sort of profit for this trade.  A move into the 20’s is the real risk here.  However, the trader may actually be concerned about VIX settlement below 11.00 since the 2017 closing low is 10.58 and the high 12.85.