Weekend Review – Volatility Indexes and ETPs – 3/12/2017

The short end of the VXST – VIX – VXV – VXMT curve moved up while the longer end hardly budged.  TYVIX is at 2017 lows going into FOMC week, but it appears equity volatility may be pricing in some uncertainty in front of this week’s Fed decision.

Needless to say and already mentioned, VXST is the big attention getter on the table below with a 24% gain last week.  The Ten-Year futures dropped more in front of higher rates, but note that TYVIX, which closed at 2017 lows last Friday was unchanged on a week over week basis.

Short volatility was all the rage at RMC last week in California and the SVXY performance on the chart below explains why.  VXX and UVXY are just continuing to grind lower due to an absence of a volatility event in 2017.

On the table below I love comparing what was hot and what was not and this past week it was commodities at both ends.   Oil futures broke 50.00 which pushed OVX higher.  Gold didn’t do much and at the bottom of the table $GVZ and $VXGDX were the biggest volatility losers last week.

With Gold volatility so low I went looking for a trade that got long GLD volatility from last week.  I did not have to look very far as on the open Friday there was a buyer of a GLD Mar 17th 114.50 Straddle on the open Friday.  With GLD at 114.44 they paid 0.98 for the 114.50 Call and 0.95 for the 114.50 Put resulting in a net cost of 1.93 and a “V” looking payout demonstrated below.

If held to expiration this trade needs gold to move down about 1.6% or up 1.7% to break even.  I took a look at GLD weekly price action over the last 12 years and on average GLD moves up or down 2%.  This doesn’t take into account moves during the week which could be gamma scalped.  On a more recent time frame six of the ten most recent weeks have experienced a move of more than 1.7%.  I’m not a big advocate of buying straddles, but when volatility is cheap it can make sense.  It’s pretty hard to argue with the logic behind this trade.

Weekend Review – VIX Options and Futures – 3/12/2017

VIX was higher and all VIX futures were lower last week.  We have been in a pretty steep state of contango which flattened a bit.  However, there are expectations that April will remain elevated due to market conditions in Europe.  This will be explained a little more below. The VSTOXX term structure appears below and […]

Weekend Review – VIX Options and Futures – 3/5/2017

The week over week change for VIX and the futures doesn’t tell the whole story last week. Despite falling on a week over week basis, VIX did show some life closing on Tuesday at 12.92 before retreating to close under 11.00 for the week. I’m going to add something to this space for the next […]

Weekend Review – Volatility Indexes and ETPs – 3/5/2017

Textbook and parallel are two terms that come to mind to described the shift in the VXST – VIX – VXV – VXMT curve below.  Also, steep comes to mind as the longer dated indexes are pretty elevated when compared to VIX and VXST. The long funds below benefited from volatility increasing a bit on […]

Weekend Review – VIX Futures and Options – 2/26/2017

To say that volatility was flat last week is misstating the facts.  Sure, VIX was lower, but wow, look at the rest of the curve.   All contracts were higher with April and May futures leading the way at up over 6%.  For this we will blame France, which I will explain after the VIX Table […]

Weekend Review – Volatility Indexes and ETPs – 2/26/2017

VIX was the only S&P 500 related volatility index that lost value last week.  VXST rose, probably getting a boost from coming off a long weekend.  The longer dated volatility indexes mirrored the action in longer dated VIX futures by moving to the upside.  April seems to be the next month of concern among volatility […]

Weekend Review – VIX Options and Futures – 2/19/2017

We’ve experienced several twists in the volatility markets this year where the futures don’t move in sync or in line with spot VIX.  This occurred again last week as VIX rose almost 6% while the futures markets moved lower.  Part of this may be attributed to February going off the board, at least with respect […]

Weekend Review Volatility Indexes and ETPs 2/19/2017

VXST and VIX managed gains last week while the longer dated volatility indexes (VXV and VXMT) both lost value.  The curve created by charting out VXST, VIX, VXV, and VXMT has been steep for most of 2017 as the shorter dated indexes have been at very low levels.  The price action last week narrowed the […]

Block Trade – 1 x 4 VIX Call Spread

I’m on the road today playing an academic, but regardless of how far I am from CBOE I still am fortunate that I’m constantly keep in the loop about big trades.  I got a heads up this morning that a VIX Mar 15 – 22 1 x 4 Call spread traded in the VIX pit […]

VIX and 3 Day Weekends

Another three-day weekend is sneaking up on us.  The result for those of us that have an unhealthy obsession with VIX is to talk about how a three-day weekend provides a headwind for VIX performance.  It has been awhile since I looked at the impact of holiday weekends so I downloaded data and got to […]

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