For the first time in 2016 the front month VIX future closed at a discount to the second month. This brings the recent streak of backwardation to an end at 30 days. The table below shows the 10 longest first month versus second month backwardation streaks with the recent run coming in a solid fourth place.
So now what? Anyone’s guess is as good as anyone else’s, but I did some quick historical analysis. The table below shows the 30, 90, 125, and 250[...]