vix term structure during last months opex compared to this month's op ex
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vix term structure during last months opex compared to this month's op ex
[QUOTE=gapcap1;30489]vix term structure during last months opex compared to this month's op ex[/QUOTE]
Hi Gary,
Thank you for your constructive comments.
I believe that the VIX term structure figure that you posted does not offer a correct view of the real structure, because there is only one point per month and connecting these points does not show the whole picture.
The Sept contract price indeed increased between Aug 16 and Sept 16 (expiration), which shows backwardation, but in reality, it increased up to Sept 2 and then decreased until expiration as you can see below.
[ATTACH=CONFIG]32798[/ATTACH]
I also post below a comparison between the VIX and the S&P500.
What we can basically say it is that there is an inversed correlation between the VIX and the S&P500 emini, but it is difficult to deduct any predictive value from this correlation.
[ATTACH=CONFIG]32800[/ATTACH]
[ATTACH=CONFIG]32799[/ATTACH]
The little element on the VIX that can sometime provide some sort of predictive value is the eagerness of large investors to use the VIX to hedge position. Last Friday, we could see that investors were no selling the VIX as strongly as the price wanted us to believe.
[ATTACH=CONFIG]32801[/ATTACH]