VIX futures Term Structure

Straitjacket · May 15, 2019

Does anyone know the reason for the current shape of the VIX term structure?

I’m specifically referring to the kink in August futures and separately the negative slope in the back months...

destriero · May 15, 2019

Near term vola due to China deemed unsustainable. On the road but can Aug be due to microstructure?

Straitjacket · May 15, 2019

destriero said:
Near term vola due to China deemed unsustainable. On the road but can Aug be due to microstructure?

Ya, I figured the last few days backwardation was due to China concerns but I couldn’t figure out the other anomalies...

rallymode · May 15, 2019

What August kink?

Straitjacket · May 15, 2019

rallymode said:
What August kink?

Take a look at VIQ future for that kink (not huge but it’s there).

Also take a look at VIZ although volume is obviously much lighter.

rallymode · May 15, 2019

Straitjacket said:
Take a look at VIQ future for that kink (not huge but it’s there).

Also take a look at VIZ although volume is obviously much lighter.

ah, yes, as dest said its just seasonality. Q is generally weak vs N and U, same for Z vs X and F. It's the same every year, some more then others.

Straitjacket · May 15, 2019

rallymode said:
yes, as dest said its just seasonality. Q is generally weak vs U, same for Z vs F. It's the same every year, some more then others.

Ah ok - thanks Rally. I’m new to this and haven’t done all my homework around past data yet. Thanks for your patience.

Straitjacket · May 26, 2019

rallymode said:
ah, yes, as dest said its just seasonality. Q is generally weak vs N and U, same for Z vs X and F. It's the same every year, some more then others.

Rally, is trading seasonality a reasonable way to start dabbling in VIX? Or should I really make sure that I understand all the product fundamentals first? Ie, Short F + Long Z and hold/evaluate in 30 days?

My logic is that most of the trading volume and attention is on N/M so wouldn’t it be sound for a beginner to start with the back of the curve?

I’m looking to start practicing (very small size) at the same time as learning so that I get some practical experience. This isn’t a product I can truly understand in 1 month...

PS - as a side note, is there any way to research which market participants are active in which part of the curve? I wish I had access to something like Macro Risk Advisors material so that I could assess what participants are looking at generally...