​August VIX Futures Look Pricey Versus Index: FactorWave’s Sinclair

On its surface, the U.S. volatility market shook off Brexit and returned to the new normal of a low vol environment pretty quickly. But that is if you’re looking at the VIX index, which is giving off a definite it’s-july-lets-go-to-the-beach-house kind of vibe. While the index had pulled in to around 12.3 on Friday – after an almost comatose low of 11.7 on Thursday – VIX futures with early August expiries were pricing around 15. That makes them attractive to short right now, according to Euan Sinclair, founder of FactorWave.