unusual VIX term structure

[ajensen]

Why are VIX futures inverted (April at 16.41, May at 14.94) when the April futures are not at a very high absolute level? And when the front month VIX future (UX1) is higher than the second month (UX2), usually spot VIX is even higher than UX1, but now it is lower, at 16.01.

Some events that could be affecting the VIX term structure are the Good Friday holiday (after which VIX should rise, other things being equal) and the upcoming French elections.

 

[Robert Morse]

I have no market opinion, but in the past it has signaled a short term market drop or has occurred during a market drop.

 

[trickshot]

Geopolitical risks, earnings and French elections in April.

 

[Chubbly]

This is a good website to keep bookmarked

http://vixcentral.com/

 

[Maverick74]

I have no market opinion, but in the past it has signaled a short term market drop or has occurred during a market drop.

Bob, it's the French election. The structure reverts right after the election. Nothing to see here.

 

[felixbocharov]

VIX looks disturbing right now, I'm kind of suspicious.

 

[Chubbly]

Bob, it's the French election. The structure reverts right after the election. Nothing to see here.

Don't think that is what people are nervous about. I hope you bought a lot of puts......

http://www.cnbc.com/2017/04/13/u-s-may-launch-strike-if-north-korea-reaches-for-nuclear-trigger.html

One of the big concerns of the week has been the fact that a North Korean missile launch is speculated to come this weekend to commemorate its Day of the Sun, a holiday honoring the birth of its founder, Kim Il Sung.

The launch was expected to be in the middle of the three-day Easter holiday weekend

 

[i960]

Bob, it's the French election. The structure reverts right after the election. Nothing to see here.

Disagree IMO - the curve started flattening the day after FOMC. Now sure, it may be coincidental date-wise, but my gut tells me it's not as simple as "French election" (which ends in May anyway?).

 

[ajensen]

Don't think that is what people are nervous about. I hope you bought a lot of puts......

http://www.cnbc.com/2017/04/13/u-s-may-launch-strike-if-north-korea-reaches-for-nuclear-trigger.html

One of the big concerns of the week has been the fact that a North Korean missile launch is speculated to come this weekend to commemorate its Day of the Sun, a holiday honoring the birth of its founder, Kim Il Sung.

The launch was expected to be in the middle of the three-day Easter holiday weekend

Interesting, but the short-term (9 calendar days) volatility index, VXST closed today (Thursday) only at 12.75, well below VIX at 15.96. If the market were especially concerned about possible events this weekend, I'd expect VXST to be above VIX.

 

[Maverick74]

Disagree IMO - the curve started flattening the day after FOMC. Now sure, it may be coincidental date-wise, but my gut tells me it's not as simple as "French election" (which ends in May anyway?).

The french election is April 23rd. If no one wins a majority, there is a runnoff on May 7th. The vix term structure goes back into contango immediately after the election.