Does anyone have any hypothesis why, for options on a future series, vertical spreads priced at half the strike difference should exhibit the same strike across all expirations, regardless of term structure?

For example, as of early Sep 2022, with VIX futures in contango ranging from around 25 to 28 and VIX itself at a little over 25, the \$1-wide verticals with a mark price of $0.50 are sitting at roughly a 23 strike all the way out to next May.

Is this implying anything in particular? Is that 23 strike simply a market expectation of the next VRO settlement, and if so, what would cause that to propagate all the way out to the back months? I would instead think the back month strikes would reflect some expectation of future VRO path, rather than be identical to the front month.

I assume vol surface and put/call arb are feeding back into these prices, but it's almost as if somebody large is running an overly simplistic model. Seems hard to believe, because this has been going on for years.

  • $\begingroup$ Where exactly do you see these prices? $\endgroup$
    – AKdemy
    Commented Sep 7, 2022 at 21:00


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