A VIXen Curve

I’ve come across my new best volatile friend: a little database of volatility term structure curves courtesy of the Chicago boys.

In planning this post, I was worried of once more facing off with Excel’s interpolation smoother function. Thankfully, the nice guys over at the CBOE have saved me some time by doing the work for me (for my past efforts on roughly 5000+ days worth of treasury curves see: Foresight of the Curve).

Convexing VIX: The Return of the Curves

The last two posts reviewed some of the oddities that occurred across the VIX term structure for the past few months with a steepening that tended to suggest some heightened expectations of future uncertainty. As the next few curves demonstrate, the early November term structure moved up fairly linearly forward with an unusually steep rate.

The good news is that last Friday’s little rejig curved us back into more of a textbook convex VIX curve. As I previously mentioned in Friday’s post: the little VIX spike seemed more of a healthy price-back. The market tended to agree with that assessment with a more calmed price flow across the two front quarter strips.

November 2010 and February 2011

VIX_TermStructure-24 November 2010

Lumpy Steepness - VIX Term Structure 24 November 2010

VIX Term Structure 29 November 2011

Oh! When's that kink along the curve? - VIX Term Structure 29 November 2011


DaVinci Convexity! VIX Term Structure 03 February 2011

Was That a Full Hazard Discount?

The initial steepness in the VIX had caused some controversy in the markets. This was in part due to the ongoing steepeness that took place along the far end of the curve. Perhaps the steep term structures of November through January were a brief insight into something more than a quick Friday market shake? Time will tell.

Confidence, however, is definitely on the up and up, with fundamental private sector measures firming their reach at historically pro-bullish levels. And that’s not just me saying it: check the readings out at ISM 🙂

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