There are two lines below although it may appear that there is only a purple line for parts of the VXST – VIX – VXV – VXMT curve. In a round about way I’m saying not a lot happened in the world of S&P 500 option volatility last week.
What really stands out on the table below is the price action of VVIX which rose over 12 points to finish the week over 90. There were large buyers of February VIX call options last week which contributed to the rise in VVIX.
With VIX being under pressure and the futures falling this year, VXX and UVXY have lost pressure and SVXY has worked higher.
Along with VIX, most volatility indexes have lost value this year and moved lower last week. VVIX is on exception and BPVIX is another as Brexit looms over the Pound. Also, note the next three are individual stock volatility indexes which are rising in anticipation of earnings announcements.
As noted above, the first two weeks of 2017 have not been kind to VXX. I decided to see if any VXX option traders benefitted from the great volatility crush of 2017. Back on December 30th of last year, like that is really a long time ago, there was a buyer of 300 of the VXX Jan 13th 25.50 Puts for 1.29. The open interest has remained at steady levels so it is safe to assume this trader held the position through this past Friday. VXX finished the week at 21.45 placing the VXX Jan 13th 25.50 Puts 4.05 in the money and a profit of 2.76.