Last Week in Nasdaq-100 and Russell 2000 Volatility – 1/19/2014

The NASDAQ-100 was the star of the week relative to the other broad based US equity market indexes by rising just over 0.70%.  The S&P 500 was down on the week, but the Russell 2000 did manage to put up a gain of 1/3 of a percent.  The somewhat divergent equity market performance carried over the volatility indexes as well.  VIX was up 2.47% and VXN rose 0.78% while RVX was down by 1.50%.  The VXN and RVX futures contracts all dropped on the week with the move in the curve a little more dramatic for RVX futures.

The thing that really caught my eye on Friday was the premium for the January RVX Future relative to the underlying index.  A spread of 1.26 (Jan Future at 17.05 and RVX Index at 15.79) is pretty wide when considering RVX futures expire on the open this coming Wednesday.  It is more dramatic considering this is a three day weekend so there is only one day remaining for that spread to narrow.  The price action on Tuesday morning will be worth watching.


The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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