3/16 Thursday

Daily log

Last night’s VIX index also made big move. If we watch only at the closing price, the term structure curve is almost flat and the 1m is barely in the positive. However last night, I was watching the VIX index rise from 27 pts to 30 pts in real time, I was afraid that it really going into backwardation. So, I got impatient and closed 1m and 2m positions to fix the loss.

When I woke up in the morning, I was disappointed to find that it had recovered quite a bit. But I added 5m of the April expire period to make up for this loss. I hope next month it will be a deep contango.