After what looked like a potential ugly day where the market was down almost 1% at one point, the VIX related products found little to cheer for. The VIX was only up .06 points. What is even more bearish for volatilty was VVIX which wasnt just barely up, VVIX was down by over 1.5%, even more, VVIX was already somewhat low at around 90.
The Cash VIX vs VIX futures spread is back to near 3.00. That is WAY too wide this close to expiration, with out any weekend muddling the spread dynamics
THis cannot stand, either VIX needs to pop (less likely) or VIX futrures need to implode (more likely). The spread should be 1-1.25 right now, MAYBE 1.5% if we were really worried. Something has to give.
The VIX term structure is completely out of whack by my count is about 30-45% too steep. If you want to know why this is important read my EBOOK on the fear gauge.