After all that nonsense about a $UVXY “gamma squeeze”, including that ridiculous MS note...+ all the inflows last week etc....the vol ETPs demonstrating the largest form of relative weakness.... in weeks.
Prior weeks we noticed market down less than a 1% and the ETPs flying
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Replying to @Ksidiii
I also don't understand bank commentaries linking vix ETP inflows to the steep spx term structure....
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Replying to @BuyingVolga @Ksidiii
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.
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I would say that almost all weight now is in vx1. Only starting to roll into vx2. That will steepen the curve.
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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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