I do not think yesterday?was the beginning of the end. ?That said, I think there is a good chance that there is at least a little follow through today?(unless there is some sort of crazy surprise in non-farms). ?Even so, ?unless the market is down another 1%+ today, there is a chance the VIX might actually fall or remain relatively flat on the day. ?At the same time, ?I expect that VIX futures and the VIX ETN’s might all be green. ?Take a look at the VIX vs the CURVE at the close (there was a big TAS trade that ran VIX AUG up after the bell).
Even if the VIX relaxes and moves back toward 15.50 or 16, ?the VIX futures are trading at such a large discount to VIX cash that there will be some upward pressure on VIX futures and VIX ETN’s. ?Now there is still a lot of time left in the VIX futures to settle, but even so, with this kind of discount, if the VIX does not quickly fall in the next day or so, ?futures WILL move higher.
The Trade:
Now is not the time to play roll yield in the VIX ETN’s, ?I would be looking at selling call spreads OTM if I wanted to be short.
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