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Post by walnut on Mar 14, 2017 20:31:13 GMT -5
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Post by theMist on Mar 14, 2017 21:04:59 GMT -5
Walnut, did you see conversation with Las Vegas?
He noticed front month was briefly below spot Vix in AH.
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Post by walnut on Mar 14, 2017 21:30:03 GMT -5
Yeah I saw that. I have seen that happen occasionally. It is because 12.3 was the VIX close but the futures are relaxing a bit. Nothing to worry about.
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Post by theMist on Mar 14, 2017 21:34:51 GMT -5
Las Vegas is extremely concerned about negative roll yield
But even with negative roll yield, Vix futures can still be in contango.
It's when 2nd month, 3rd month are less than front month, that's when scams can fly. And that's usually with hard spiking vix
Agree?
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Post by walnut on Mar 14, 2017 21:39:06 GMT -5
Not sure what you guys are seeing, that is still a perfectly healthy looking term curve
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Post by theMist on Mar 14, 2017 21:44:56 GMT -5
Not sure what you guys are seeing, that is still a perfectly healthy looking term curve I agree. For scams to fly curve has to become inverted. 2nd month less than front month... Backwardation After this months expiry, do you agree that contango will drop from around 11- 12% down to 6-7% ? Assuming everything stays pretty much the same but we know that can change. Difference between March and April contract is substantial. However, april - may isn't.
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Post by lasvegas77 on Mar 14, 2017 23:02:16 GMT -5
I've seen tvix spike hard even with just a negative roll yield and plenty of contango.
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