Weekend Review – Volatility Indexes and ETPs – 1/8/2017

S&P 500 implied volatility was lower across all four time periods that are measured by CBOE Volatility Indexes last week.  VXST finished the week at 9.19 which is actually a tad higher than the low for 2016.  VIX also finished near the 2016 low of 11.27 but finished 0.05 above that level.  As a Trump presidency looms over the markets, with all the rhetoric and fear of what this means for the world, it’s a bit amazing market volatility is so low.

The table below shows volatility under pressure in all places except bonds as TYVIX gained 4.44% which also made it the biggest gainer among volatility indexes quoted by CBOE last week.

We got a reset on the VXX – SVXY – UVXY performance chart, but with volatility remaining low all week SVXY already has a 40% lead on UVXY after just four trading days.

Even through there were a lot of red numbers associated with volatility last week, I was able to find a bullish VXX trade from Friday.  With VXX at 21.97 there was a buyer of the VXX Jan 20th VXX 23.00 Calls who then sold the VXX Jan 20th 24.50 Calls for 0.28 and a net cost of 0.24.  The payout if we get a resurgence of volatility and VXX over 24.50 on the close in two weeks is 1.26.

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

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