The OVX settled just over 32% today. This is the cheapest oil prmeiums have been in the last year and near 2 year lows.
Take a look at the current term structure of VIX futures (yes I know we discuss this alot but its been fascinating):
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.
The news today is going to be the rally in the S&P 500 and the continued utter obliteration of VIX. But I think the more interesting part of the story is the way VVIX has dropped the last couple of days followe up by its complete and utter dismemberment after the fed announcement. With VIX dropping more than the S&P rhas rallied along with the crushing in VVIX, there may be a run higher in SPX back toward its highs.