The S&P 500 finished Friday at a 2015 closing high while VIX finished the day at the lowest closing price for 2015. What is a little perplexing about the chart below is the relationship between spot VIX and the February contract.   I am well aware that VIX is under a slight amount of extra pressure due to the three day holiday, but all day Friday the February VIX future was much greater than the 1.00 point premium to the underlying index. I understand the world has been full of surprises and there is a bit of extra risk associated with short market volatility. We shall see by Wednesday on the open if the premium was just justified or not.

VIX Curve

At least one trader seems to think February VIX settlement will come in closer to where the index was Friday than where the February futures closed. The last block trade on Friday was a buyer of almost 5,000 VIX Feb 15 Puts for 0.17. Note on the payoff diagram below that if February VIX settlement comes in where VIX closed Friday this trade will actually turn out to be a winner. For illustration purposes I also show where the February VIX futures closed Friday.