Daily Options Report

Now given that I've noted here, there and everywhere (or at least here and my book) that December in general and late December in particular are awful times for volatility ownership, I'm not surprised that the VIX has turned into a teenager. And set 16 month lows in the process. We've harped often how even in the low 20's, volatility was not cheap compared to realized volatility in SPX.

So VIX 19? Whatever.

But here's what I do find interesting. VIX futures, and of course VXX, The ETN From Hell, are moving right down even faster. Jan. futures carry a $3 premium, which is as low as it's been save for that brief spike in the VIX to the low 30's in early November. It makes sense for the futures premium to contract when the VIX itself rallies. After all, VIX futures pre-anticipate every volatility pop that rarely comes. But selling off on a VIX decline, especially when that decline is part seasonal? That's more surprising and indicative that perhaps we're finally letting go of those memories of 2008.

And this VXX? Wondering how many non leveraged ETF's have lost 66% of their value in the first 11 month's of trading?