Weekend Review – Volatility Indexes and ETPs – 10/1/2017

The S&P 500 continues to power higher finishing the week (and 3rd quarter) at an all-time high.  The price action last week pushed all the SPX related volatility indexes lower, but not by much.  All were already low and testing levels that have been pretty much a floor before the week commenced.

VXST VIX VIX3M VXMT 09292017

The long VIX related ETPs reacted as would be expected with VIX hovering in single digits last week with VXX down about 5% and UVXY losing just under 10% on the week.

VIX ETFs 09292017

For the year, SVXY is up over 100% and the other funds have done what they do coming under pressure as VIX futures pricing drifts lower into a spot VIX price that on average is the lowest on record thus far in 2017.

VXX SVXY UVXY 09292017 Perf

Across the spectrum of CBOE volatility indexes things were actually mixed last week.  We are approaching earnings season which likely places VXGS, VXGOG, and VXAPL at the top of the list.  A bit of surprise to me was RVX in 4th place, small caps just finished up a strong quarter on both an absolute and relative basis when compared to large cap stocks.  One would think this would result in a lower RVX.

Vol Index Prices 09292017

 

Short volatility has been the place to be in the volatility space in 2017.  There are many ways to play the short side of VIX and options on VXX offer up all kinds of short volatility alternatives.  Early Friday, with VXX around 39.90 a trader sold the VXX Oct 20th 37.00 Calls in a few lots at prices around 3.50 and then purchased the Oct 20th 39 Calls for 2.50 taking in a credit of 1.00.  As seen below, the goal is for VXX to be under 37.00 at October standard expiration, which is a reasonable outlook if VIX and VIX futures keep acting as they have this year.

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

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