​Weekly: VIX Not Taking Brexit Bait; VSTOXX Futures Spreads Eyed

With the next Fed meeting not till June, volatility investors are a little starved for vol catalysts. Despite a small VIX rally at the start of the week, the benchmark was headed down by Friday. According to one relative value manager, the VIX should be pricing in a greater risk around the Brexit referendum. Meanwhile, the VSTOXX term structure should also be showing elevated levels of volatility further out on the curve, as a potential vote to leave the E.U. could inject greater uncertainty into Europe for a while. Speaking of the VSTOXX, portfolio managers are increasingly looking at futures spreads as event hedging, also with Brexit in mind. We also look at the dismal performance of long/short funds recently, and the return of insurance firm hedging, which is elevating S&P skew.