The S&P 500 dropped for the third consecutive week with the reaction from the S&P 500 volatility term structure chart being a slight shift to the upside. I altered the term structure graphic that appears below to show where we are right now compared to recently history.

VXST - VIX - VXV - VXMT - Friday vs 2014 Averages

My definition of recent history is the average VXST – VIX – VXV – VXMT curve is the average in 2014. What I’ve highlighted here is the spread between the closing levels on Friday and the average for last year. Based on this comparison the most elevated level of implied volatility is showing up in the 93 day time frame which is measured by the CBOE 3-Month Volatility Index (VXV).  VXV closed 14.9% above the 2014 average while VIX was 12.9% above last year's average to finish last week.

Sticking with the theme of the market being down three weeks in row, I decided to check out where VIX has settled when the S&P 500 has been down three consecutive weeks. I went back to 2009 as 2008 really skews the number to the upside and found there have been twelve three week losing streaks for the S&P 500 over that time period. The average close for VIX at the end of three down weeks is 27.17. The bar chart below compares the VIX closing levels for each of those dates since 2009. As a side note since 1990 there have been fifty seven three week losing streaks and the average for VIX at the end of those has been 25.90.

VIX 3 Weeks

The exchange traded products continue to struggle with the up and down movement in VIX along with VIX futures not being overly reactive to the index change. Despite a tough week for stocks the long funds were only up slightly and the leveraged long funds actually lost value. The short funds did come under pressure, but still are slightly up for 2015.

ETP Table