Weekend Review of Volatility Indexes and ETPs – 12/24/2017

The volatility index price action relative to the equity market price action was pretty interesting last week.  The S&P 500 was higher, as were three of the four volatility indexes calculated using S&P 500 option pricing.  VXST was lower, but that is very common before three day weekends due to the calculation methodology (calendar days) when we have the market closed for three days.

VXST VIX VIX3M VXMT 12222017

VVIX stays over 90 and moved up a bit last week and TYVIX moved nicely off closing at an all-time low on the previous Friday.   The long funds suffered a bit despite VIX moving higher as a reminder that VXX is not VIX.

VXX Table 12222017

Usually the holiday season with the extra days off results in volatility indexes suffering a bit of a head wind.  I was surprised to the point of double checking numbers before posting the table below as I would have expected more indexes lower than higher last week.

Vol Index Prices 12222017

UVXY hasn’t had a very good 2017, which is being polite.  At least one trader thinks UVXY will not be gaining any of the losses back next week.  With 2 minutes left in the day and UVXY at 10.10 a trader sold 600 UVXY Dec 29th 10.00 Calls for 0.43 and then purchased 600 UVXY Dec 29th 12.50 Calls for 0.14 taking in a credit of 0.29.

UVXY PO 12222017

Note in the payout diagram above, UVXY only needs to drop 0.10 or more.  Considering that UVXY dropped 36 of the last 50 weeks and the average weekly performance being down over 4%, this trade makes some sense.  Barring a year end volatility event things should work out as hoped for this trade.

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

Post a Comment

Thank you for submitting a comment. We ask you to use the comment guidelines to promote thoughtful and productive discussions. Your comment will be approved before it will be posted. Thank you for your patience.

Required fields are marked *

*

You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <s> <strike> <strong>

  • CATEGORIES

  • Recent Comments

  • Tags

  • authors

  •  

  • Quick Links

  • Blogroll

  • Follow Us

    RSSTwitterFacebookLinkedInYouTube
  • Archives