I received a few posts suggesting that the reason for the lower December VIX futures versus the January VIX futures is the “Calendar Effect”. This implies that because December is a slow month due to the holidays, the December VIX futures contract should be priced lower. If you look at my previous post regarding S&P 500 returns by month, you see that January and December do not look all that different. Strong positive average returns for both months. I did provide some analysis about volatility by month, but I thought I would expand it with percentile rankings:
The fall looks very volatile to me, but I would say December and January look awfully similar. Maybe I should only look at recent history as a guide?