[VE] This One Thing is…WIDE

This morning we had VIX expiration.

And a special spread we look at is…WIDDEEE.

More interestingly, especially for the ETP’s like VXX and UVXY is the spread between the cash index and the September future.

It is wide, I mean historically wide. 

Take a look…

…it is Giant:

While there is some understandable election premium in October,

the 4 point spread between the Sep future and the cash index is TWICE what it would normally be over the next 30 days.

This means one of two things:

  1.  The Vol ETP’s and the Sep VIX Future are heading for some pain
  1. There is a risk out there to the indexes that the market is NOT taking into account.

Either way, I think the next month sets up to be another month of incredible vol trading.

I cannot wait…

The VIX Light is Red – which means it should continue to go down.

Your Only Option,

Mark Sebastian

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