VIX gave up over 14% as the S&P 500 tried to work back to the 2000’s last week, falling short by 0.01. Note the steepness of the curve below with the standard March contract at over a two point premium to spot VIX.
The generic curve is also a bit steep, considering it is normally pretty flat. VIX may be low, but even the short dated futures are braced for higher levels.
With VIX under pressure on Friday, someone came in to the market using one of my favorite[...]