ES calendar spreads & VIX

Discussion in 'Index Futures' started by jones247, Dec 10, 2008.

  1. Has anyone taken note of the correlation between the calendar spread on the ES in relation to the VIX? I'm aware of the inverse correlation between the VIX and the S&P; however, I was hoping that a similar correlation existed with the ES & VIX.


  2. 1) The calendar spread is a function of short-term interest rates with respect to dividend rates.
    2) A high VIX can create a wider bid-ask spread on outright contract months.
    3) The VIX can collapse while the market remains at "low" levels.
  3. I noticed the ranges getting smaller on the ES.. Will this help the VIX collapse to "reasonable" levels?
  4. 1) The market has to maintain a "large" daily range in order to support a "high" VIX. Otherwise, traders will aggressively start to short-sell option premium.
    2) Some range compression can be expected because of the holidays. That should cause the VIX to drop.