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Even with the market down 12 handles on the Fed Mintues, at no point in time did appear that VVIX was going to do anything. At no point in time to demand for VIX options go bid, even as there appeared to be a lot more buys than sells.
The VIX failed to break 16 on a close...again. VVIX did nothing today...again. The VIX settled, adjusted for the weekend lower than its Friday close. VVIX did the same and has failed to break out on any of this uptick in movement.
The VIX was down nicely today, adjusted for the weekend VIX was done about 1%. Yet, take a look at the movement in the futures. The May future AND at certain times the June future were done on a point basis about as much as the VIX cash index was today.
The day after the VIX somewhat underperformed the move in the SPX and VVIX stayed bid we saw a really nice sell off and VIX pop. What was more interesting though was the VIX future expiring next Wednesday. It completely popped, normally with about a week to go and trading at a premium to the cash I would have expect the May future to perform at about 80% of the cash index. Looking at the tick chart one can clearly see that for large periods of time VX was OUTPERFORMING the cash index.