– VIX shorts are currently near a 5-year high.
– Spot VIX has been realizing low volatility.
– There is a better relationship between the net positioning and the market.
I have been a regular contributor on SA when it comes to the topic of volatility. Naturally, I receive a number of questions being posed to me in regards to various topics. However, as of late, I have been getting questions about the heavy short interest in the VIX futures and whether this means anything. Of course, the question can be posed more bluntly. Does the heavy short interest in the VIX futures mean that we are about to see a bout of increased volatility in the near future?
Now I have my opinions and thoughts. However, I also let the data educate me. In this case, I will walk through the historical data on the VIX futures with you and perhaps we can answer some questions, and perhaps we can get some more interesting questions coming out of this exercise.
Now let’s look at where the VIX shorts currently stand: