I had to double check the numbers when I looked at the closing curve this week as I had forgotten this was a holiday shortened week. For those new to VIX, the calculation is based on calendar days and there is usually a small weekend impact which is exacerbated by three day weekends. The futures anticipate this and don’t follow VIX to the downside. In addition to the long weekend, there is a lack of big economic numbers or new scheduled for Tuesday which also may have had an influence on VIX closing at more than a point discount to the February futures.
On Thursday VIX closed at a 2016 high of 28.14 and topped 30.00 for a short period of time. During the day one trade took advantage of the higher levels by selling the VIX Feb 28 Calls at 2.12 and buying the VIX Feb 29 Calls for 1.72 and a net credit of 0.40. Friday’s weakness in VIX and the February futures helped this trade out and as long as we don’t experience a resumption of volatility to begin next week this trade should be in good shape.