Except for a brief interlude in mid-November, equity index options haven’t been this fairly valued in about a year, meaning that realized volatility has more closely matched the volatility implied by options prices. [5,6]
The February VIX futures contract closed above the March price on Friday -something that hasn’t happened on a weekly basis in quite some time.  It’s important not to read too much into this, since the front month contract isn’t that far from expiration, and will therefore track the spot VIX more closely. Notable, however, is the fact that the whole term structure increased by about 70 cents last week, even out to September.
I mentioned last week that “it may be worth considering some long gamma exposure to gold at these levels.” An at-the-money February GLD straddle purchased at the close on Monday gained 21% on capital risked, not so much from the modest 1% price move as from the increase in implied volatility. A similar trade in oil would also have been profitable. [11,15] It’s probably wise to trim such positions or exit them entirely here, as any immediate moves are less likely now to offset negative theta.