Is VIX ready to run to the election?

Andrew Giovinazzi

BY ANDREW GIOVINAZZI

September 24, 2024

Yo Pit Crazies,

Wednesday night we go live again to run through the option fingerprints left behind by institutions. They leave a mark.

Speaking of Marks, our own Mark Sebastian was on BNN Canadian TV for an hour on Monday. Ehhh!

If there is anything normal about this election let me know, since I have questions.

President Joe Biden stopped running for some reason but somehow is still President. Ok.

VP Kamala Harris got the nod but there was no Primary since Joe Biden quit the race. How does that work?

How did Joe run the primary with no challengers or did he all of a sudden decline?

Donald Trump had two assassination attempts in 2 months.

Not one candidate is talking about the deficit or solving any problems at all.

VP Harris has not really had any normal press interview although she was on Oprah.

There are more calls to squelch “disinformation” like who will be in charge of that.

Now I realize politics has jumped into the realm of the absurd since the MSM no longer is objectively covering politicians. It has narratives but that is about it.

It is just odd and the market is starting to price it like that.

Stocks are at all time highs and the VIX is close to 16

Something ain’t right.

VIX futures curve is downright bizarre

Remember VIX options price off of the future not the VIX index. The only time the VIX index matters for the options is on expiration or if it really moves the futures. Right now the October future is in suspended animation as a curious artifact of the upcoming election is unfolding.

The lower the short term IV goes and the higher the election volatility goes, VIX Oct future will rally.

As time passes, or famously the “passage of time” into Nov, VIX will pick up the higher volatility around the election. Normally the VIX VIX futures would drop to the VIX index indicated by the fancy red highlights below. That is normally the trade i like, short VIX in a contango curve.

VIX futures curve, Sep 23, 2024

I don’t think we will see that action this cycle.

I do expect the bid for VIX to hang around which would make VIX call spread last much longer than normal. If we get another surprise they could do quite well. The last election cycle VIX was over 30 into the POTUS contest but there were other circumstances around it, namely half the country was still shut down and voting by mail-in ballot.

Not the same this time, but still odd.

If you want to avoid odd, increase the duration of the trading idea, check out or little show on Wednesday to see how to do that.

To Your Trading Success,,