Friday was a huge day for US stocks with broad based indexes rallying nicely. The result was pressure on the SPX related volatility indexes which pushed them from up on the week to having a losing week. Friday’s price action put pressure on the long ETPs and pushed the short ETPs (XIV and SVXY) to […]
Of the four volatility indexes based on SPX option pricing, only VIX was lower last week. This is the second week where the longer dated indexes (VIX3M and VXMT) rose while VIX was lower. Despite VIX dropping the long ETPs gained ground last week. This is a great lesson in what these products give you, […]
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. The long VIX related […]
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 […]
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 […]
Weekend Review of Volatility Indexes and ETPs – 1/14/2018
We got an interesting move in the VXST – VIX – VIX3M – VXMT curve last week. The short end moved higher despite a nice bullish move out of stocks. The volatility market has been a bit jumpy like we are bracing for an unforeseen spike. We’ll see if the nervousness is justified. I’ve been […]
Futures and Options, Performance, VIX
UVXY, VIX, VXX