VIX dropped just over 2% which isn’t that much considering we got a 1% rise in the stock market. The curve remains in a fairly common state of contango. Standard March futures settle Wednesday on the open and the spread of over a point also makes me wonder if volatility traders are buying into higher stock prices.
I did a little more digging on VIX price action, really just looking for the 2016 intraday-low which I assumed occurred last week. I assumed wrong. The low was actually the previous week as can be seen on the chart below. It’s very slight, but a divergence in trend between VIX and the S&P 500 is usually not good for the S&P 500 when they are both positive trends.
Early Friday I came across a trade using the VIX Weeklys expiring on the open March 23rd. With VIX at 17.04 and the market for the March 23rd VIX Futures about a point here there was a seller of the VIX Mar 23rd 17 Puts at 0.41. VIX did move lower over the course of the day and finish at 16.50, so it’s not a good start for this trade. The hope here is for VIX settlement a week from Wednesday to come in higher than the strike price of 17.00 and have the contacts expire with no value.