I have been watching this for the last few days, but there seems to be a great opportunity in VIX futures. The futures curve is dramatically misshaped:
Interesting shape for a futures curve...
The markets are pricing in dramatically higher premium for September, October and November VIX futures than for December. This is most likely due to historically high volatility in September and October, but I find it rather ridiculous. I think a lot of the mis-pricing has to do with the demand created from the VXZ exchange traded note which purchases futures on that part of the curve. I would tend to love selling a contract of October at 35.50 and buying a contract of November or even December at much lower prices. The position is mostly self-hedged and should make money as the curve flattens out.
