Dear Member
Alpha Idea: Long VIX (CBOE SPX Volatility Index)
Trade: VIX DEC 21st 22 Long Call
My Thoughts:
VIX appears to be trading at a significant discount of 17% relative to it’s weighted value. SVIX, VIXY & UVXY currently have a weighting of 100.00% front month VIX futures and 0.00% second month futures for a weighted value of 23.6.