Should be 5% or less after expiration tomorrow if we have another positive day in the markets. Would this be a good time for those on the sidelines to start to enter a short vix position?

Not seeing good volume on these positive days unfortunately. Might be good for a starter position, but the risk is still higher than usual.

With VXX weighted about 66,27% on M2, that’s my main concern as we are not seeing it easing down much. It’s keeping VXX up and probably many traders up at night too! Seth do you think expiration in 6 days will rebalance and “fix” M2 and thus giving the VIX curve a chance to revert towards contango?

m2 is lower than m1 but I do see your point. I think a lot of the rebalancing issue is due to the limited amount of VIX futures and forced purchases from Credit Suisse issues. In time it will balance out.

Need to see spot move lower, agree the noise from xiv will result in near term noise, needto think about long term, pull up a uvxy chart from 2011 and that will give you perspective

Hard to keep perspective on spikes, but ironically this move in vx/markets is a one off event, rather than a real macro driver like a us downgrade or china devaluation in 2011/2015

This was an instrument that went bad at an extremely inopportune time with low liquidity in VX futures, once its cleared up, you’ll see blend over time revert to 15-16 area

Sorry Seth, yes you’re right I meant M1 not coming down. I suppose you have been actively analyzing the events of this VIXmaggedon and I’m certain most of us are eager to read what’s your take when you find time to write down!

@dageorge42 @upspeed the media is making a mockery of the VIX complex right now, agree, over time this like every other blip will subside and while the VIX itself will likely express a higher mean average over the course of the year when compared to 2017, the ETPs themselves can and likely will still express decay.

Exactly…

make sure you check your message box @dageorge42. Have a great trading day guys!