Since we have seen a very steady decline in VIX futures across the curve, I thought it was an opportune time to look at how VIX futures behaved in the last few years. It is hard to say that we will decline back to pre-2007 levels considering the crisis we have been through, the huge government deficits, and the continued weak employment levels and housing market. That being said, I think it is good to get a perspective of what I believe would be a floor to what we should expect.
By looking at the 5th month VIX futures contract over time, I pinpointed a few different spots in the last couple of years that I thought would be interesting to look at relative to today. Each point marked a low within its own slice of time:
What a wild ride vol took
With these spots in time marked, now we need to dive into what the VIX futures curve looked like at the time: (more)
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