No. of Recommendations: 2
Did you mean the Nov. 2020 election? You may be right. As you noted, the same happened ahead of the Nov. 2008 election.

I was wondering when the Oct 2008 and the Feb 2018 anomalies in the term structure were noted?


First, elann ... yes, I meant the Nov. 2020 election. Thanks for noting that. Note though that the October 2008 situation was different. The one-time anomaly occured just before the Nov 2008 election, but reflected expirations into the following spring. The current situation shows the anomaly in January/February with expirations surrounding the upcoming election. See the tables below.

I found only three times in the history of VIX futures that a "butterfly" of three consecutive expirations, with the earliest one at least 5 months out, had a credit or debit of 2.50 or more. The first two shown in the tables below were one-offs, and quickly reverted to smaller credit/debit levels. Even switching direction quickly. As tedthedog pointed out, 2/5/18 reflected a big market move. This is also seen in the big jump in VIX. October 2008 was clearly a high volatility period, and the -2.77 credit quickly reversed direction. The current situation is very different. The credit moved above 2.5 on 1/2/2020 and has increased to near and above 4.00 since.

Elann noted that hope is not a very sound investing strategy. As I said, I haven't taken any positions on this, so for now I agree. I suppose if I had jumped on this when the credit first exceeded 2.5, the most extreme in history, my position would not look too good right now. I thought I'd share this here partially to document it real time because I thought it was interesting (and weird).

Eb

Settle Date  VIX Close   N (Jul 18)    Q (Aug 18)    U (Sep 18)   Butterfly (+1 / -2 / +1)

2/2/2018 17.31 15.825 15.925 16.225 0.200
2/5/2018 37.32 19.425 20.425 18.925 (2.500)
2/6/2018 29.98 18.750 18.150 18.900 1.350

Settle Date VIX Close J (Apr 09) K (May 09) M (Jun 09) Butterfly (+1 / -2 / +1)

10/24/2008 79.13 37.390 35.990 36.250 1.660
10/30/2008 62.90 35.770 36.500 34.460 (2.770)
11/5/2008 54.56 36.590 35.580 35.440 0.870
11/17/2008 69.15 41.290 40.150 40.020 1.010

Settle Date VIX Close U (Sep 2020) V (Oct 2020) X (Nov 2020) Butterfly (+1 / -2 / +1)

1/2/2020 12.47 18.225 19.850 18.675 (2.800)
1/9/2020 12.54 17.975 20.075 18.525 (3.650)
1/16/2020 12.32 17.475 19.825 17.975 (4.200)
1/23/2020 12.98 17.500 19.700 17.800 (4.100)
1/30/2020 15.49 17.600 19.725 17.950 (3.900)
2/4/2020 16.05 17.350 19.925 17.975 (4.525)
2/10/2020 15.04 17.325 19.625 17.800 (4.125)


Notes. The first two tables above show only dates where all three expirations traded. The last table simply shows selected dates, but all the intervening dates actually showed trades for all three expirations.
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