I love the smell of volatility in the morning

The markets stopped caring about 09 sensitivity as well as had been focused on 2010. The suspicion was which 09 will leave with the sigh because of the (government impulse driven) benign economic data as well as Fed's inaction. And that's what the figure of the VIX futures bend was implying as participants bid up longer antiquated options relations to reduced antiquated ones.





Next year is when all the movement was ostensible to take place. But the annulment of the Risk Trade brought the sensitivity back in to 09. Many got held reduced vega with near-term maturities (some were prolonged 2010 vega as well as reduced 2009 vega). Forced covering flattened the VIX futures bend in the day. Maybe Q4 markets won't be as boring as some had expected.



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