David H. Annis, Ph.D.

Principal, Strategy & Investment
Quant Finance, Algorithmic Portfolios, Volatility

[David H. Annis, Ph.D. @VernonCapitalDA]

@Ksidiii I've found the front two month term structure to be one of those measures that works until it doesn't. It's easy to calculate and it's intuitive, but there are more responsive measures to regime changes. (I suppose if there weren't, there'd be no need for vol managers.)

[David H. Annis, Ph.D. @VernonCapitalDA]

@VIXandMore Not anymore...

[David H. Annis, Ph.D. @VernonCapitalDA]

$SPX continues not falling, and the $VIX complex continues not rising. Futures continue trading at a discount to fair value on the front of the curve and a premium on the back end.

[David H. Annis, Ph.D. @VernonCapitalDA]

Despite the rally in $SPX after the inflation release this morning, $VIX and $VX futures barely budged. The one month portfolio now trades at its largest discount to fair value in over a year.

[David H. Annis, Ph.D. @VernonCapitalDA]

Uneventful day for $SPX and the $VIX complex; $VX futures fair values fell slightly more than futures prices.

[David H. Annis, Ph.D. @VernonCapitalDA]

$SPX up for the 9th time in 10 days, higher than Wednesday's close to offset the only losing day in two weeks. Futures are trading at a discount to fair value on the front end and a premium on the back end.

[David H. Annis, Ph.D. @VernonCapitalDA]

$SPX is off nearly 1% after almost two weeks of gains, with $VIX and $VX futures rebounding somewhat. $VX futures rose between 4% on the front end (1M) and 2% at the back end (6M); Fair values rose 2% on the front end and fell 1% on the back end.