Ok, well it’s time for another edition of “interpret that record short VIX positioning.”
The latest CFTC data (out as usual on Friday and current through Tuesday) shows the spec net short in VIX futs rose by something like 16% w/w and is now at a new record:
You can make of that what you will, but it certainly seems to suggest that this situation is getting more precarious quite literally by the week.
Of course you have to contrast that with what we’ve seen recently in options where open interest on VIX calls has been climbing and where the call/put open-interest ratio is near its highest since 2014:
So there are some conflicting signals for you to ponder (think: hedging).
Oh, and if seasonality is your thing, you’ll note that a five-period cycle look seems to suggest that the VIX will rise in the months ahead:
Talk amongst yourselves…