The VIX term structure returned to normal from slight backwardation last week as the S&P 500 rose over 3%.  Two years ago a 3% move in the S&P 500 probably would have resulted in VIX under 12.00, but these are different times and with a rate hike looming down to the mid 15’s is the best we can expect.

VIX Curve with Table

The short dated term structure ended the week in slight contango which has been the norm when VIX drops since the futures were launched back in July.  The curve tends to be flat when VIX moves up slightly and has gone into backwardation during periods like late August.

ST VIX Curve with Table

Earlier this week I wrote a blog about some large trades in VIX Weeklys Options that expire on the open next Tuesday.  One of the trades was a seller of about 17,000 VIX Nov 24th 16 Puts.  That blog can be read at Block Trade Analysis - VIX Weeklys Option Trades.   So yesterday either that seller added to their position or someone decided that November 24th VIX settlement would come in over 16.00 and about 20,000 more VIX Nov 24th were sold at 0.30.  VIX finished the week at 15.47, but the November 24th VIX Future finished the day at 16.325.  I think there are one or two traders hoping that spot VIX moves toward the future early next week.