Weekend Review – Volatility Indexes and ETPs – 2/5/2017

VXST dropped while the other three volatility indexes based on S&P 500 index option pricing rose slightly.  This all happened despite a rise in the S&P 500 last week.

VXST VIX VXV VXMT

Probably the most notable thing on the table below is the rise in VVIX despite the stock market and VIX not doing much last week.

VXX Table

Focusing on the VIX related ETPs shows that the trend of short volatility being the place to be in 2017 continues to hold up.

VXX SVXY UVXY Comparison

Looking outside the broad-based index volatility space, there were a lot of gainers despite not a lot going on in the equity markets.  There doesn’t seem to be any pattern among the gainers, just a variety of pockets of higher volatility.

Vol Indexes

On Monday I came across what appears to be the first of a two-step trade.  With VXX around 20.00 someone came in and sold 200 of the VXX Feb 3rd 21 Calls for 0.30 and purchased 200 VXX Feb 10th 31 Calls for 0.05 resulting in a net credit of 0.25.  Friday VXX closed well below the short strike, which leads me to believe whoever still owns the VXX 31 Call that has a week until expiration may be using that position to sell another call if they still have a short bias with respect to VXX.

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

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