VIX was higher and all VIX futures were lower last week.  We have been in a pretty steep state of contango which flattened a bit.  However, there are expectations that April will remain elevated due to market conditions in Europe.  This will be explained a little more below.

VIX TS Table

The VSTOXX term structure appears below and note the elevated April futures contract price relative to the spot index (it’s impossible to miss).  This shape has been around for a while now and we’ll keep an eye on it as the French election approaches. 

VSTOXX

With a couple of hours remaining in the trading day this past Friday there was a risk reversal initiated in the VIX pit with a focus on April.  With the April futures contract at 14.40 and VIX at 12.00 someone sold 4050 VIX Apr 19th 13.50 Puts for 0.86 and bought 4050 VIX Apr 19th 20.00 Calls for 0.60 for a net credit of 0.26.  The payoff along with the futures and spot price highlighted appears below.  

VIX PO