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I also don't understand bank commentaries linking vix ETP inflows to the steep spx term structure....
The ETPs own a blend of of nearest (VX1) and next-nearest (VX2) futures, given where we are in the month they have a higher weight on VX2, so big inflows result on more buying of VX2 than VX1 which steepens the term structure.
I would say that almost all weight now is in vx1. Only starting to roll into vx2. That will steepen the curve.
You’re right, we just passed the Feb expiry — a few days ago the Feb/Mar steepness was due to heavy inflows, have not checked to see what Mar/Apr steepness looks like
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