Looking at the New VIX Futures Months After March Expiration

Today is the last day of trading for March 2013 VIX futures.  As discussed would happen in my week ahead post, March futures closed within about 3% of VIX.

Closing term structure:

Looking forward to tomorrow April currently sits at 15.4 and May at 16.25 resulting in a smaller contango spread of -0.85, which applies to XIV, VXX, and UVXY. With VIX at 14.39, April VIX futures are just 7% higher.

For those looking at trading ZIV, the contango spread between month 4 and month 7 will start narrower at -1.5 tomorrow.

Implied volatility has popped up a bit off of realized volatility, but with a volatility risk premium of 26% VIX pretty well priced once more. Here is the current chart from the VIX Futures Data page:

There was not much room to play in the intraday SPY arbitrage model today as the model stuck closely to the SPY.

And in case you missed it I posted about a new tool today to measure Twitter sentiment on VXX which was positive earlier in the day but is unsurprisingly heading toward 50/50 as VXX ended the day flat.

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