Fear Is Dead: The VIX Futures Curve Reverts Back to Normal
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The recently-bludgeoned volatility complex is not only out of the emergency room -- it’s on the verge of full health.
The rally in stocks that saw the S&P 500 Index rise by 1.3 percent on Wednesday was surpassed by an even more momentous improvement in the futures contracts that track the market-implied swings in that benchmark. The VIX futures curve has now shifted from colossal backwardation -- in which near-term contracts are priced richly relative to longer-term ones -- to a minute contango, the opposite and more typical term structure.