VIX Futures Weekly Wrap

Generally a bit of a slow week with the market continuing to drift higher after the big move up last week.  Traders continued to unload option protection along the entire curve, with spot VIX closing at a 67-month low of 13.36.

VIX Futures Weekly Performance:

Front month (January), down 7.2% to 14.15, saw the heaviest selling and dropped to the lowest close for front month VIX futures since 6/19/2007. January futures expire next Tuesday at which point short term VIX ETPs (XIV, SVXY, VXX, UVXY) will start to use February as front month futures, which will help fuel XIV/SVXY.

March futures and beyond fell a slightly, with the back end of the curve compressing a bit, decreasing the roll yield and making ZIV a little less attractive in the short term.

A look at the VIX futures weekly performance vs SPY:

  • XIV: +3.9%
  • ZIV: +1.9%
  • SPY: +0.5%

Finally, the VIX futures term structure at the end of each day this week:

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