With the drop in the S&P 500 last week VIX rallied almost 20%. Contango was pretty steep going into the week so the front month May future gained just over 4% as the index played some catch up with the futures contract.

VIX Curve Table

The generic curve I create with the front five weeks of futures managed to shift higher, but also remain in a pretty steep angle. We have less than a year of data to work with, but so far flat is the most common shape for this curve. Only for the last few weeks has the shape been this steep.

VIX ST Curve Table

Just after 3:00 Chicago time on Friday there was one last sizable VIX option trade. Someone came in and purchased the VIX Jun 15 Calls for 4.38 and sold the VIX Jun 15 Puts at 0.37 for a cost of 4.01 and a synthetic long VIX position equal to a cost of 19.01. This is pretty close to where the Jun VIX futures were trading at the time. They finished the trade off by selling the VIX Jun 22 Calls for 1.53 reducing the cost of the trade to 2.48 and a payoff that resembles a covered call as can be seen in the diagram below.