VolatilityAnalytics.com

VIX options and futures expire the Wednesday before or after monthly equity and index option expiration (The third Friday of the month). Once every three or four months it happens on the Wednesday after, like this month, but generally it is the Wednesday before. I have often suspected and have some data to support this suspicion, that the market has a strong bias to the upside during VIX expiration. Why? Because an enormous number of VIX calls would expire worthless. Don’t believe me? Look at just the past 12 expirations:

This average daily return is .55%, as compared to .03% for all days since 1950. I will have more data going back a few more years soon.

Meanwhile, the September VIX future, which is 90% of the short-term VIX ETNs now, is nearing support:

I’m eyeing Monday and Tuesday as the time to start some long vol positions.