The chart here illustrates the level of the VIX, and VIX futures curve on March 26 in each of the last 6 years (source: Vixcentral.com), and although it doesn't include some of the earlier history of the VIX, its pretty interesting.
A few observations jump out :
- The current level of the VIX and VIX futures curve is pretty similar to where it was in March 2007, other than a slightly more upward sloping futures curve now implying a higher cost of carry of a long VIX futures position
- Indeed the development of a clear upward- sloping bias to the VIX futures curve is something that's happened since 2009. No doubt the launch and strong asset inflows into VIX ETPs such as the VXX, which follows a systematic strategy of buying VIX futures have fuelled this
- Its quite surprising looking back that in March of 2008 there was actually a downwards sloping bias to the VIX futures curve, perhaps an indication of the complacencies that existed at that point in time.
- The most upward sloping futures curve of the time points studied was in 2012, where there was a massive 7 volatility points difference between the first and fourth futures (15 vs 22)
- what we saw between 2010 and 2012 was overall a very slight move down in the level of the VIX and the front month futures (although with notable spikes in May 2010 and August 2011 - see second chart), but the longer term futures remained at eleveated levels
- What we've seen in the last 12 months are these longer term VIX futures also falling, the VIX itself has also fallen, but by much less
Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.