We only have data going back to the 2007 – 2008 period for the non-VIX SPX related indexes on the diagram below. VXST, VXV, and VXMT all made all-time lows, based on the history we have to work with, on the close Friday. VIX closing at 9.51 was the third lowest on record. However, the […]
VXST was slightly higher while the rest of the SPX related volatility indexes dropped last week. All moves were relatively small as we have truly entered the summer doldrums, at least for broad based index volatility. There’s very little exciting on the table below. TYVIX bumped up slightly, but is still at very low levels. […]
As the week came to a close VXST which measures 9-day volatility expectations took a dive. Hence the big drop on the left side of the VXST – VIX – VXV – VXMT diagram below. TYVIX finished the week below 4.00 which was a first for 2017, but not outside of the long term historical […]
That little bump in VXST that shows up on the far left side of the diagram below can be attributed to Friday afternoon activity. VXST rose 0.75 Friday while VIX was up 0.54. Shorter dated SPX option pricing is used to calculate VXST than VIX. It may be the weakness Friday afternoon in large cap […]
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 […]
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 […]
S&P 500 implied volatility was dramatically lower last week. Of significance is VXV which hit 2017 lows. I’m teamed up with an academic putting the final touches on a study showing that VXV leads VIX so this may be a signal that the low for VIX in 2017 hasn’t be established and a close below […]
The shift lower in the VXST – VIX – VXV – VXMT curve was 75% parallel and 25% dramatic. The dramatic move was at the shorter end of the curve where VXST dropped 28% moving from a premium to discount relative to VIX. As noted volatility was lower across the board. Of interest below, VVIX […]
Textbook and parallel are two terms that come to mind to described the shift in the VXST – VIX – VXV – VXMT curve below. Also, steep comes to mind as the longer dated indexes are pretty elevated when compared to VIX and VXST. The long funds below benefited from volatility increasing a bit on […]
Weekend Review of Volatility Indexes and ETPs – 7/30/2017
On a week over week basis the S&P 500 was down fractionally. One would not assume such a small move from SPX when looking at the VXST – VIX – VXV – VXMT curve below. VXST and VIX made nice moves to the upside while the longer end of the curve moved up a bit […]
Futures and Options, Performance, VIX
UVXY, VIX, VXX