The S&P 500 was down 5.77% and S&P 500 related volatility indexes did exactly what traders would expect. They shot higher and the curve became as inverted as it has been in the last three to four years. I’m pretty sure the last time the VXST – VIX – VXV – VXMT curve was in this sort of backwardation was in August 2011.
For the record VXST was up 231%, VIX rose 118%, VXV gained 51%, and VXMT was higher by about 34% for the week. Before the week began, XIV[...]