VIX rose less than one half one percent last week as the S&P 500 was down slightly. I would normally say there was not much change in risk perception for the broad US stock market, but that seems to be only true at the 30-day time horizon.   Note the VXST – VIX – VXV – VXMT term structure chart below shows a rise in VXST (9-day), but also a drop in VXV (3-month) and VXMT (6-month) last week.

VXST - VIX - VXV - VXMT - Corrected

It may just be that despite the continued pushing out of the problems related Greece, there is still a bit of heightened concern around the final outcome from all the talking that’s been going on. Also, I just did a quick check of the economic calendar and the June non-farm payroll statistics are due to be reported this coming Thursday. Maybe VXST is a bit elevated in front of that report. Seeing TYVIX creep higher toward the end of the week reinforces the thought that the market may be a bit nervous regarding what the employment report will tell us about the economy.

VXX and the other long oriented ETPs dropped around 5% last week with the levered funds doubling that move to the downside.   The drop in the long funds this past week was a function of the markets they were created, specifically VIX futures. The July VIX contract and August VIX contract were both down more than 5% last week which pushed these long funds prices lower.

VOL Table

Sticking with the theme of a potential move higher in volatility next week, I noted a 100 lot in UVXY options from Friday that would benefit from such a move. With UVXY at 33.73 there was a buyer of 100 UVYX Jul 2nd 30 Calls at 4.10. The quick math folks will noted that this option trade has only 0.37 of time value with a break-even level of 34.10 at expiration with this trade. The typical hockey stick payoff for the long call appears below, along with UVYX’s trading price when this execution occurred Friday morning highlighted.