VXF - Daily into 2022

Volatility remains compressed with a slow and steady move lower
on declining volumes.

Protection is being bid at levels out the VX Curve at levels for
February and March Expiries.

It appears the Operators are beginning to Position ahead of the
FOMC Meeting - January 25-26 (Tuesday-Wednesday).

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Price Objectives for JAN VX (VXF) - 19.85 / 19.30 and the largest
2021 Daily extensions @ 15.20 & 12.30 for a Full extension.

In the Chart above observe the prior two Highs with successive lower
lows as VX Expanded into the end of 2021.

Clear A / B / C patterns with the current move lower building "C".

TIme indicates this move lower in VX Complex may continue into
the first week in January.

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The VX Curve remains in Contango (M1 - M4) Term Structure

JAN - 20.80 @ 9.86%
FEB - 22.85 @ 5.78%
MAR - 24.17 @ 4.14%
APR - 25.17 @ 1.71%

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October / November / December Roll to Settle arrived with Lows.

The break of the 2021 50% implies there are Higher Highs ahead, from
where is Time-Dependent - we can see the 3 Drives to a Low present prior
to large reversals.

By TIME - the same pattern suggests a Low for VX in early January.

For Price - a Higher low by approximately 100 BPS.

Unfortunately - there is a Large Daily Gap @ 17.35 for VFX for the
Continuous Contract to Fill.

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We remain patient for the Lower FIll and will wait for entry.