Sell the M1:M2 spread, currently around 1.35, if I think contango and the roll downward will continue until expiration, right? Or do I buy the spread? (Having an early morning brain fart out here on the coast.)
VIX spread question
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CannonTrading_Ilan
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listed exchange spreads are always characterized with the near month first. if you are currently long the near month and would like to roll forward you will be selling the near month and buying the deferred month, so Yes! you will sell the listed spread to roll a long spot month position. ( quick disclaimer: I am not sure the platform you are using as it may have different "logic" )
Confused. I want to be short M1 and long M2. So, I buy the spread, right?
Think of it like a calendar...you buy long term month and sell short term month...you are buying the spread...margin works differently than calendars since you are short front month volatility.
If you want to be short M1 and long M2, the price of M2 is higher than the price of M1 and the spread value is positive then you will make money when the spread between them grows. For that you buy the spread.
Just what I thought. Thanks.
Unless front month vols are spiked and then you are buying the spread.for a credit and hoping the credit shrinks....
Vix.spreads are a different animal
Hi there ! I thought this thread was the best place to post...
Please find below the VIX future term structure... It is in contango... except the 15OCT'24 contract which is pricier than the previous or the next month. Could it be related to the US election programmed on nov. 5th ? I have checked on previous elections, this "pattern" of a high VIX future on the previous month of the election is not visible at the period of the year.
Playing the "back to contango" scenario could be an opportunity for a calendar spread (short OCT'24, long NOV'24)...
a good
Please find below the VIX future term structure... It is in contango... except the 15OCT'24 contract which is pricier than the previous or the next month. Could it be related to the US election programmed on nov. 5th ? I have checked on previous elections, this "pattern" of a high VIX future on the previous month of the election is not visible at the period of the year.
Playing the "back to contango" scenario could be an opportunity for a calendar spread (short OCT'24, long NOV'24)...
Hi there,
an update of the VIX term structure, still showing a "bump" on the oct'24 maturity. As far as i know, this non-linear event is pretty rare. Maybe this is related to the US election, which would be a premiere on the VIX future terms history.
an update of the VIX term structure, still showing a "bump" on the oct'24 maturity. As far as i know, this non-linear event is pretty rare. Maybe this is related to the US election, which would be a premiere on the VIX future terms history.
Does short squeeze come in to play? and how