Weekly Options Volatility Tracker Report: The VIX Puzzle

As I've noted on many occasions, the relationship between spot VIX and longer-dated VIX estimates has not "worked" as a directional indicator for at least several months. This looks like a genuine puzzle: the premium VIX futures traders are willing to pay and/or requiring in order to sell is too steep and has been too persistent to be dismissed as a phenomenon typical of the "wall of worry" that bull markets proverbially climb…

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