Skip to content

Opportunity in VIX Futures

I have been watching this for the last few days, but there seems to be a great opportunity in VIX futures.  The futures curve is dramatically misshaped:

Interesting shape for a futures curve...

The markets are pricing in dramatically higher premium for September, October and November VIX futures than for December.  This is most likely due to historically high volatility in September and October, but I find it rather ridiculous.   I think a lot of the mis-pricing has to do with the demand created from the VXZ exchange traded note which purchases futures on that part of the curve.   I would tend to love selling a contract of October at 35.50 and buying a contract of November or even December at much lower prices.  The position is mostly self-hedged and should make money as the curve flattens out.

Posted in Derivatives, Markets, Trading Ideas.

Tagged with , , , .

Copyright © 2009-2013 SurlyTrader DISCLAIMER The commentary on this blog is not meant to be taken as an investment advice. The author is not a registered investment adviser. There is no substitute for your own due diligence. Please be aware that investing is inherently a risky business and if you chose to follow any of the advice on this site, then you are accepting the risks associated with that investment. The Author may have also taken positions in the stocks or investments that are being discussed and the author may change his position at any time without warning.

Yellow Pages for USA and Canada SurlyTrader - Blogged