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Sunday, February 12, 2012

VIX & VIX Futures Significantly Overvalued

VIX futures soared this past Friday.  Near its highs on Friday, VIX futures rose as high as 20% above the value of FVE Futures, which was at the top of its 2-year overvalued range!  Closing price of VIX Futures was still 14.1% overvalued.  Does the options market know something that the underlying market does not?  If investors were that concerned about Greece, you'd think the underlying market would have shown greater volatility and a steeper fall.

Or was Friday a great opportunity to sell VIX futures?  My model says VIX futures really overvalued!

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