Another leg lower or just a head fake?
I just checked the message que and realized the flood of questions regarding the bearish signal coming from the spread between volatility futures and variance futures. The fact that I posted this signal on Wed. was not a reaction to the rally of the prior two days, so I can’t take credit for the sell-off (j/k)…
Volatility and Variance Futures
The data suggests we are headed lower and VIX is likely to visit former highs. The spread between VIX and Variance is being watched very closely for any indication that either fear is excessive without justification or if systemic risks are again surfacing forcing extreme hedging strategies to kick in.
