Things started to get a bit wild in the equity markets last week. After the overly-quiet week of Feb 11-15 where realized volatility for S&P 500 during the week (HV5) hit a low 1.7, VIX picked up a bit gaining 12.9% on the week after marking a new low of 12.08 on Monday. By the end of the week HV5 was all the way up to 14.2!
VIX futures lagged spot VIX, remaining tame in comparison with only front month futures showing any sign of concern (see term structures below). However, this movement of M1 did result is a marked reduction of contango to second month and is a signal that VXX is likely to head higher, as I noted last Wednesday.