VIX And S&P 500 Diverge – Non-Commercials Actively Cover Net Shorts In VIX Futures

In the latest week – as of Tuesday last week – non-commercials were net short 10,303 contracts. Just three weeks before that – as of October 2 – they were net short 140,444. They quickly covered as the cash began to rally. The S&P 500 began dropping beginning October 3. It will be interesting to see what this week brings. Non-commercials’ holdings as of today will be published Friday. Fingers are crossed. This is potentially another data point that could argue for a drop in VIX near term.

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