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Near Historic Level of $VIX futures premium (Preview)

By Lawrence G. McMillan

At the current time, realized volatility is dropping, $VIX is dropping more slowly, and $VIX futures are remaining at fairly lofty levels because of the uncertainty surrounding the upcoming Presidential Election. So, we decided to take a look back and see if there had been any other times when there was such a large discrepancy between the near-term $VIX futures and historical volatility. It turns out there was only one other time when the premium differential was larger – in late January, 2009. However, it doesn’t seem that there is any market-predicting parallel here.

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