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VIX Well Below Its Futures Contracts
When there is a big disagreement between the value of the spot VIX Index and the prices of its futures contracts, that carries important information about trader sentiment. As of the close on Sep. 28, 2016, the spot VIX was well below all of its futures contracts. The chart above measures the spread between the spot VIX and the highest priced VIX futures contract, which is currently June 2017. The direct message is that VIX futures traders do not think that VIX value in the 12s is likely to persist all the way until the futures expiration. The image at right shows a recent quote window. VIX futures quoteWhen the ... (full story)