From the pre-Independence day July 2nd close to this past Friday VXST was down 0.73, VIX was up by 0.04, VXV was 0.05 higher and VXMT finished 0.28 higher. VXST is sort of an anomaly as there is a 3-day weekend impact that pushes the index lower. As the week over week change does no justice in showing the actual price action from last week I included the Thursday closing curve to show that last week was anything but boring.
Note on the table below both VXX (and the similar funds) and SVXY (plus XIV) were lower last week. The long funds will follow the performance of their respective strategy indexes while the short funds track a daily performance. The result can be that both long and short funds drop when we have a very volatile week in the equity markets like last week. As soon as my intern returns from her vacation she’s going to get to work on how often both the long and short funds lose value in the same week and what happens afterward.
On Monday VXX was gravitating around 21.00 when I came across a trade that had a bearish outlook. A relatively small trader sold the VXX Jul 10th 21 Calls at 0.60 and purchased the VXX Jul 10th 22 Calls for 0.24 for a net credit of 0.36. As long as VXX finished the week below 21.00 this trade pays off 0.36 or the credit received for putting it on. In lieu of a payoff diagram I have included a price chart for VXX with the 21.00 price level highlighted.
Every day last week VXX managed to trade above 21.00 at some point during the day, including Friday for a brief moment. However, as the stock market rallied on Friday VXX faltered finishing the week well below the critical 21.00 level at 19.85.