This morning we had VIX expiration.
And a special spread we look at is…WIDDEEE.
More interestingly, especially for the ETP’s like VXX and UVXY is the spread between the cash index and the September future.
It is wide, I mean historically wide.
Take a look…
…it is Giant:
While there is some understandable election premium in October,
the 4 point spread between the Sep future and the cash index is TWICE what it would normally be over the next 30 days.
This means one of two things:
- The Vol ETP’s and the Sep VIX Future are heading for some pain
- There is a risk out there to the indexes that the market is NOT taking into account.
Either way, I think the next month sets up to be another month of incredible vol trading.
I cannot wait…
The VIX Light is Red – which means it should continue to go down.
Your Only Option,