Weekend Review of Volatility Indexes and ETPs – 5/28/2017

VXST closed Friday at an all-time low of 7.60 which sounds impressive until you hear that for VXST the history we have to work with only goes back to 2011.  I am going to make a bold prediction and say that VXST will move higher when the market reopens on Tuesday.  Read that as sarcasm as VXST has never followed a three-day weekend without moving higher.

VXST VIX VXV VXMT 526

After having a short period of upward movement, the VIX related funds gave back performance and then some last week.  The short funds resumed the stellar performance of 2017 with VMIN leading the pack by gaining over 10% on the week.  I find it interesting that SKEW, which often benefits from low VIX is not testing the 150’s.  I guess no one needs to mitigate tail risk going into the summer.

VXX Table 526

For 2017 UVXY is now down 75% while SVXY is up a little less than 70%.  There is always a divergence between the leveraged long and short VIX related ETPs, but this divergence is only 5 months into the year.  I may have to conduct a mid-year reset on June 30th.

VXX SVXY UVXY 526

The British Pound was the bright spot for the volatility space this past week, along with AMZN and GOOG.  Oil option volatility was also a bit higher, but otherwise implied volatility was mostly lower.

Vol Indexes 526

On Wednesday May 17th VIX had a short-lived day in the sun and VXX was right there sharing the spotlight.  We all know everything in the markets returned to what has been normal in 2017, but at the time VXX had run to 16.10 from 13.60 in a single day.  As that day came to an end a trader put on what now looks like a pretty smart bear put spread.

With VXX at 16.10 there was a buyer of the VXX May 26th 16 Puts for 0.84 who then sold the VXX May 26th 15 Puts for 0.31 paying 0.53 for a trade that needed VXX to finish this past week below 15.00.  We all know that is how things turned out and if the trader held on through this past Friday they scored a profit of 0.47 based on the payoff diagram below.

VXX PO 526

Weekend Review of VIX Futures and Options – 5/28/2017

VIX finished the week at 9.81, just a tad above the post 2008 lows put in earlier this month.  The June 2017 VIX cycle is five weeks long so there’s still plenty of time until June 21st expiration.  The result is one of the steepest curves a can recall in the six years of posting […]

Weekend Review of VIX Futures and Options – 5/21/2017

The term structure and payoff below does not do any justice to what those of us that focus on VIX and related markets this past week.  In fact, when the dust settled, all the standard futures were hardly changed on the week. Just to record what did happen last week I made a second term […]

Weekend Review – Volatility Indexes and ETPs – 5/21/2017

The week over week VXST – VIX – VXV – VXMT curve moved higher and appears to have done so in a very parallel fashion.  Since the week over week change doesn’t do the actual activity justice so I added the Wednesday closing curve to the graphic below. I was honestly a little surprised at […]

VIX and VVIX Indexes Both Jump More Than 45% on Wednesday, with Strong Trading Volumes

MAY 17, 2017 – Today both the CBOE Volatility Index (VIX) and the CBOE VIX of VIX Index (VVIX) rose more than 45%. Some U.S. news developments that impacted the financial markets today concerned the former FBI director James Comey and former National Security Adviser Michael Flynn. TABLES WITH BIGGEST ONE-DAY MOVES Today’s 46.4% move […]

Weekend Review – VIX Options and Futures – 5/14/2017

VIX was slightly lower on the week despite the S&P 500 dropping as well.  The near dated futures worked lower with May finishing Friday at premium of just over 0.80 as that contract goes off the board this coming week.  From August and beyond the futures were actually higher which creates a pretty steep curve […]

Weekend Review of Volatility Indexes and ETPs – 5/14/2017

This time last week we were all pretty certain that the final round of the French election was a done deal.  Short term SPX implied volatility wasn’t taking any chances with VXST closing last Friday at 11.40.  With the election outcome going as expected VXST got a little crushed and the shape of the VXST […]

2017 Volume Rises for VIX and SPX Options, and for VIX Futures

Monday, May 8, 2017 – After the results of the French election were announced yesterday, this was a notable day in the options and volatility markets – The CBOE Volatility Index® (VIX®) fell 0.80 points and closed at 9.77 (it lowest daily close since December 1993); Bloomberg’s estimate of 30-trading day historic volatility for the […]

Weekend Review of VIX Options and Futures – 5/7/2017

VIX managed to (briefly) put in a post Great Financial Crisis low hitting 9.90 on Monday and sneaking in a 9.99 low on Friday as well.  Full disclosure, I didn’t even see the 9.99 print on Friday, but then again, we are getting conditioned against getting too excited when VIX dips below 10.  Worth noting […]

Weekend Review of Volatility Indexes and ETPs – 5/7/2017

The chart below may be one of the final references to the French Election which came to an end this weekend.  Note VXST, which reflects the IV of very short term SPX options was elevated going into the weekend.  I don’t think it is too much of a stretch to say that a quick drop […]

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