Fear leaves the front first
Ten weeks of the VIX family. The nine day index is down about 30 percent, spot VIX about 18, the three month about 12, the six month about 10. The closer the horizon, the faster the calm.
Today the curve reads 12.1, 15.3, 18.0, 20.2 from front to back. Spot under the three month puts the ratio at 0.85. That shape is contango, distant uncertainty priced above present calm, and it is the weather a put spread seller wants.
The tracker now reads this curve every ten minutes and calls the regime. Today it calls contango. What the calm pays gets swept, then anchored.
