Something has to give!

Either the VIX is too cheap…

Or the August VIX future is  too expensive….

With a month to go, a 3 point spread between the future and the cash is incredibly wide.

At this point, the spread should be below 2, especially with the VIX around 25 and realized volatility closer to 12.

The  question is…

which is right?

Typically it’s been the futures.

Which would not be bad for markets.

So for now, I like long SPY put and long VXX put as a pair.

The VIX Light is Red.

Your Only Option,

Mark Sebastian