VIX Futures Monthly Expiration
SPX Index & Index Options Performance
As we approach VIX Futures expiration Wednesday morning, the market is slowly losing upside momentum. Index realized volatility has cratered as high dispersion takes hold.
As
notes in his latest post, last few years VIX futures expirations have been followed by major weakness in the markets.Lets take a look at how SPX & index options performed historically:
1-DTE SPX Performance:
Note: All $charts represent $200k notional bet size (ex. ~3 XSP at 6000 SPX)
US RTH Session:
Overnight performance into morning settlement:
Indeed after Covid we see persistent weakness into & throughout the day!