We have been talking about the spread between the VIX future and the VIX cash for some two weeks. Well it turns out, as can often be the case, the future was right. However, what is interesting is after yesterday's sell off, there was not a big continueation. Actually, the SPX had an anemic rally. Whta is alarming about some potential follow through is VVIX. The VIX did very little today, VVIX on the other hand:
Take a look at the current term structure of VIX futures (yes I know we discuss this alot but its been fascinating):
There was a bit of a rally today on Fed jawboning and a tepid APD payroll number. The economy is growing just not as much as anyone would like. But is it growing enough to raise interest rates? The action in the bank stocks seems to say yes. VIX was marginally lower but the backdated futures did not move too much. If the NFP number is going to be a nothing VIX Oct futures should be dropping more but they are not.