Weekend Review – Volatility Indexes and ETPs – 10/30/2016

As a good number, but not all (some of us are White Sox fans) of the traders on the floor at CBOE were starting to think about where they were going to be that evening to watch Game 3 of the World Series, some news broke that shook the equity markets.  I don’t need to regurgitate all that here.  In fact, regurgitate is a good word to describe the election process this year.

vxst-vix-vxv-vxmt

 

The curve below is partially a result of the uncertainty around the election, but also reflects a relationship that I think would have existed with or without the newest twist to the election.  Note the purple box below highlighting the difference between VXST and VIX with VXST at a slight premium.  This time last week VXST was calculated using October 28th and November 4th options.  Now, VXST includes options expiring the Friday after the election. We will never know exactly how much of a boost that gave to VXST, but it must count for something.

I’ve already noted the VXST performance from last week.  Other things that stand out are a rebound in  TYVIX after dipping below 4 last week and the bump up in VVIX which settled under 100 after topping that figure on Friday.

vxx-table

 

Both VXX and UVXY had good weeks, but it is a little too little and a little too late as both funds have suffered from steep contango and low VIX for most of 2016.

vxx-svxy-uvxy

 

 

Finally, a look at the 29 volatility indexes shows broad based volatility up across the board.  On the flip side, four of the five losers last week were individual stock volatility indexes.  Three of those were the result of earnings.  The other loser was volatility on the British Pound which has been very strong of late and was probably due for a rest.

volatility-indexes

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

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