February 13, 2013 at 14:10 PM EST
VIX Futures Snapshot: A Classic 'Rolldown' Has Begun
February VIX futures expired this morning at 13.07 the lowest VIX settlement since early 2007.  It’s a brave new world as SPX realized volatility has been around the 10 level for 2013 so far. As a result the VIX at 13 does not seem so cheap. In the last week the SPX is up about 1% and VIX spot is a point lower but the entire futures curve has shifted as well. Here is last week’s snapshot: Click to enlarge   Compare that to today: Click to enlarge At first glance there doesn’t seem to be much of a ...
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