Last Week in VIX – 4/20/2014

So earlier this weekend I posted a blog about VXST and the streak of twenty higher closes for the CBOE Short-Term Volatility Index that comes after a three day weekend.  I also noted that VXST has a better chance of being lower on the Friday before a three day weekend than on any other trading day.

I decided to run the same test with VIX and see what sort of impact a three day weekend has on price action for VIX before and after the long weekend.  Going into a long weekend (or any weekend actually) VIX has a bit of a headwind due to the nature of the calculation used to determine VIX.  The calculation is based on calendar days and when the next two or three days are days that the markets will not be open there is a little downward pressure on VIX.  Needless to say it is possibly greater going into three day weekends instead of two day weekends.  So, now that I have gotten through that long winded explanation, here is the result – there have been sixty eight three day weekends since January 1, 2004.  Of those sixty eight VIX has closed lower on the day forty eight times or about 70% of trading days.  On the flip side, about 66% of the first trading days that follow a three day weekend have seen VIX move up.  These numbers are not as dramatic as the VXST results, but are significant in that VIX tends to close higher 45% of trading days and lower about 55% of the time.

Since I am really supposed to be talking about what VIX did last week, let’s just say the market was higher and VIX was lower.  However, VIX was probably a little lower than it would have been if Friday had not been a holiday.

VIX

Last Week in Emerging Market Volatility – 4/20/2014

After two years of doing this I can finally use the word ‘boring’ to discuss what went on in the emerging markets sector last week.  Despite the US markets surging higher, Brazil was just up by 0.23% based on the performance of the iShares MSCI Brazil Capped ETF (EWZ – 47.50).  Also, the iShares MSCI […]

Last Week in Gold and Oil Volatility – 4/20/2014

When I’m putting together these weekend reviews I often have a good idea of what I’m going to say about the different markets that have listed volatility trading.  However, with respect to gold and oil it has been pretty tough lately.  The first anniversary of the gold crash passed as we all got our taxes […]

Last Week in NASDAQ-100 and Russell 2000 Volatility – 4/20/2014

The S&P 500 was the leader of the pack last week rising 2.71% while the NASDAQ-100 gained 2.54% and the Russell 2000 was 2.38% higher.  Admittedly there is not a huge difference between first and last place on this list.  I continue to keep an eye on the spreads between VXN and VIX and RVX […]

Last Week in VXST – 4/20/2014

CBOE has historical data for the CBOE Short-Term Volatility Index going back to the first day of 2011.  This weekend marks the 21st three-day weekend since January 1, 2011.  Those of us that spend lots of time focusing on volatility indexes are very aware that there is a weekend effect that puts downward pressure on […]

Last Week in Volatility Indexes and ETPs – 4/20/2014

It took five days for the S&P 500 to drop from 1865 to 1815 – this past week the S&P 500 rose from 1815 to 1864 in just four days.   This time last week those of us that comment on the market action each weekend were posting articles and blogs citing the S&P 500 experiencing […]

A Little More of VIX in 2014

Yesterday I posted a blog about VIX price action in 2014 and compared it to different levels from 2004 – 2013.  Justin Pulitzer (@justinpulitzer) noted via a tweet that 2008 – 2009 probably skewed the highs on the chart that I produced and discussed last night.  Based on that tweet I was prompted to take a look at […]

Comparing 2014 VIX and VIX from 2004 – 2013

With all the talk about VIX not acting right (I don’t use the word broken) you would think that someone had written a book criticizing the fear index.  My feeling has been that VIX is doing what it is supposed to do and that is measure the implied volatility of index options that are listed […]

Last Week in VIX – 4/13/2014

VIX did what VIX does when the stock market sells off, it moved up.  Specifically VIX rose 22% last week settling just over 17 as the S&P 500 showed some real signs of weakness on Thursday and Friday last week.  April VIX futures and options trade for two more days and then expire this coming […]

Last Week in Gold and Oil Volatility – 4/13/2014

While the equity markets continue to receive a lot of attention due to the recent downside moves the commodity space has been unusually quiet.  The SPDR Gold Shares ETF (GLD – 126.93) rose 1% last week and seems destined to be stuck in the upper 120’s.  Oil did a little better with the United States […]

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