Skip to content

VIX/VIX Futures Spread

The gap between VIX futures and the VIX index has been moving into unchartered territory.  The spread between the front month VIX futures and the index has hit a record level.  The trade that should work in this situation is to go long March calls and puts, delta hedge the options, and short the March VIX future’s contract vega neutral.  A bit difficult to implement, which is probably why the spread persists – along with the fact that traders and investors are getting long volatility through the futures market in anticipation of a possible market correction.

Record spread

Posted in Derivatives, Media, 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