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The VIX® returned to levels not seen in several years, breaking through 30 intraday on October 15th before falling back to close yesterday at 17.87. Both rise and fall in the VIX were precipitous; the market remains skittish.
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It was a good month, then, for long VIX futures strategies. The short-term index rose by over 21% and the mid-term index gained 11%. The S&P 500 Dynamic VEQTOR Index also gained.
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The VIX futures curve has flattened and, unusually, the curve is showing backwardation in the front two months.
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