The week over week change for VIX and the futures doesn’t tell the whole story last week. Despite falling on a week over week basis, VIX did show some life closing on Tuesday at 12.92 before retreating to close under 11.00 for the week. 

VIX Term Structure Table

I’m going to add something to this space for the next few weeks as there is a divergence in the volatility world.  Specifically, VSTOXX futures pricing from April and beyond is at a significant premium to corresponding VIX pricing.  The chart / table below shows market concern for the Eurostoxx 50 going into April which coincides with the French election process.

VSTOXX Curve table

Also, for more on this divergence, Reid Steadman at S&P Dow Jones put up a nice blog late last week.

http://www.indexologyblog.com/2017/03/02/futures-prices-for-europes-fear-gauge-jump-u-s-investors-say-le-pen-le-who/

 

Since the volatility world is now fixated on April, I went searching for a trade that may be looking for higher volatility during that month.  On Friday, there was a diagonal spread that appears to be looking for a low VIX into March expiration and then higher volatility between then and April expiration.  With VIX just over 11.00 there was a seller of the VIX Mar 14.50 Calls for 0.49 who used those proceeds to cover some of the cost associated with buying VIX Apr 16.00 Calls for 1.36.  The spread came to a net cost of 0.87.