Volatility Views 532: Revenge of the Volatility Backspread
Volatility Views
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The VIX Terminus Spread and the Volatility of the VIX Futures
The VIX spread between May and June last week, I'm fairly sure settled right around 285 wide. That is a very steep, Contango, particularly when you have that much time until the front month rolls off. If we see a pullback kind of post the crux of earnings next week or the next two weeks, wouldn't be shocked to see that spread the VIX term structure flatten more.
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