Last week wrapped up with VIX and front month futures down heavily, to the point where our normally smooth curve is starting to resemble a cliff. VIX Futures term structure week over week:
While it is not abnormal to see the front part of the curve steepen as front month futures converge with spot VIX as expiration draws closer, forward 30-day volatility (VIX) is now less than actual realized volatility over the past one and three months, suggesting that VIX is underpriced (a negative volatility risk premium).
Historical volatility vs implied volatility chart from Friday:
With March futures currently 11% above spot VIX it should be noted that this convergence can happen by having a rising VIX, not just a declining front month as some may have grown accustomed to.