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 Oct future has about 3 weeks to expire. At this point the spread between the VIX and the VIX future should be about 1-1.25 points. With the VIX on the rally that spread should be even tighter. Yet, as I review the market, Friday we saw the VIX spread at about 3 points and today, even off the weekend with VIX up over 2 points, the spread between cash and VIX Futures are almost 2 points. That is extremely wide:
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.