Well, really, it should technically be the Chart of the previous year with this lovely 3D render of the VIX future curve against a simple S&P500 plane for the course of 2010. I tried to render a similar 3D plane back when I was doing all those yield curves (see Foresight of the Curve and its Maturing Future), unfortunately my little excel charter didn’t handle too well beyond 500 days worth of data, so instead there was just a 2D video. So much for my Fixed-Income-Avatar modeling ambitions.

The graph was first published by Artemis Capital Management’s in its recent client note (available here). Artemis believes that the great Vega short, in play over the past year, might be offering a bit too much ‘free’ return and that some of its implied costs should actually catch up with it over the course of 2011. This would follow recent gossip surrounding the steep contango over the VIX curve or that, liquidity measures not-withstanding, there’s no such thing as a free lunch, even for vol’ traders. However, the VIX curve is still holding a slight premium over its long-term average, so perhaps these calls for alarm are still a bit too premature.

I hope to cover this topic in more detail with a future post and review some of my personal favorites covering issues of skedasticity et al. But until then, please enjoy the nicely inversely correlated VIX to S&P500 for 2010:

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