With all of the movement in the VIX futures curve and strange supply/demand dynamics, it seems like there are almost always kinks in the curve. If we look at the current curve, December 2011 VIX futures are trading a bit above 34 while January VIX futures are trading a bit above 35:
- Kinks in the VIX futures curve
There is no guarantee that this difference will not widen or stay this way for a while, but it seems nearly definite that the gap will close at some point as the curve settles down. You could short the January VIX futures and buy the December 2011, but at $1,000 per point this might be too large of a trade for most. Alternatively, options on the VIX can be traded in contracts which are $100 per point. Many combinations of trades could capture a shrinking of the Dec/Jan gap.
