VIX futures Term Structure

Discussion in 'Index Futures' started by Straitjacket, May 15, 2019 at 1:18 PM.

  1. Does anyone know the reason for the current shape of the VIX term structure?

    I’m specifically referring to the kink in August futures and separately the negative slope in the back months...
     
  2. destriero

    destriero

    Near term vola due to China deemed unsustainable. On the road but can Aug be due to microstructure?
     
  3. Ya, I figured the last few days backwardation was due to China concerns but I couldn’t figure out the other anomalies...
     
  4. What August kink?
     
  5. Take a look at VIQ future for that kink (not huge but it’s there).

    Also take a look at VIZ although volume is obviously much lighter.
     
  6. ah, yes, as dest said its just seasonality. Q is generally weak vs N and U, same for Z vs X and F. It's the same every year, some more then others.
     
  7. Ah ok - thanks Rally. I’m new to this and haven’t done all my homework around past data yet. Thanks for your patience.