I notice an anomaly, IMO, with the pricing of the VIX contracts. I am assuming they are American and not European, as I last traded them over a year ago and they were American at that time.
The front contracts are more expensive(Puts) than the back months. Very interesting as this sets the stage for a simple trade, IMO, to take advantage of this phenomenon.
Short the front Jan80Put for 65.20 credit and Long the back Jun80Put @ 60.00 debit. When assigned next week @ Jan OPEX(18th) @ 80.00/share Long, exercise your Jun80Puts @ 80.00 Short and wash out the Long shares. Do not pass "GO" but collect 5.20/spread.
I realize that the VIX is not settled in shares but in cash, correct? So would I not owe the difference between the PPS on Jan 18th and 80.00, but then be able to settle my Long position in cash through exercise on the same date, thereby effectively doing the same as with shares?