"The most newsworthy item in the volatility derivatives arena is the fact that the term structure of the futures continues to slope so steeply upward. We have discussed this in great detail in past newsletters, so we are not going to go into a lot of particulars here. Suffice it to say that, when the term structure is so steep for so long, it has proven to be bearish for the stock market in general – most notably, in the last year or so. We expect this occasion to end the same way – with a sizeable decline in the stock market. Previous declines in the past year, after similar signals from the term structure, have seen $SPX fall from 60 to 180 points."
Larry McMillan, The Option Strategist newsletter
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