FreeVIX4 min read
Vol term structure is unusually flat
VIX
Delayed
SPY
Delayed
The thesis
Front-month sitting almost on top of the second month usually resolves one of two ways, and the resolution is fast either way.
What I'm watching
- VIX futures spread
- Dealer gamma positioning
- Whether realised keeps undercutting implied
Positioning
Watch, 2-4 weeks. Conviction: Medium. Vol structure is a timing tool, not a directional call.
Opinion, not investment advice. The author may or may not hold positions discussed.
Opinion. The author may or may not hold positions discussed. Not advice. Not a financial promotion approved under FSMA s.21. Quote data is delayed. Past performance is not a reliable indicator of future results.
Comments
5 commentsSaved. The watch-list section alone is worth it.
For anyone tracking this, the data drops Thursday pre-market.
What's the invalidation level you're using on VIX?
Equity for now. I'll look at options if the vol comes in.
Not sure I buy the timing here. Feels like this needs another quarter of data before it's actionable.