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.
