Trade Deadline VIX Special

• Posted by Adam Warner
• on July 30th, 2010

Thanks Astros. Way to give Oswalt away to the Phillies. Oh wait, you had to pay half his relatively reasonable salary to give him away…even better. At least it provided an excuse to see if Touch bothered to photoshop Alyssa into Astro’s gear (they apparently did).

Anyway, unusual Friday in that VIX has outperformed VXX…and the VIX futures in general. You tend to see that when there’s weekend nervousness, but you’d have to squint to find any undue fear of big news on tap.

I think we just have to put it in the context of the downtrending futures premiums. October now trades $5.50 over “cash”, down nearly $3 from recent highs. August is down to $1.5 over, also down about $3. I continue to believe VIX is more or less fair in here, so you may see a bit more drift in the Oct premium.

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