VIX Term Structure at new low

Troy Bombardia

2020-08-07

The Vix Term Structure has reached the lowest level in 6+ months.

The Vix Term Structure which compares 1-month VIX futures to 3-month VIX futures has reached the lowest level in 6+ months.

When VIX Term Structure hit 0.8, this usually led to a large spike in VIX over the next 1-2 weeks.

This was a mixed (more bullish than random) sign for S&P over the next year.

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