Short term volatility was the big loser among the four S&P 500 related volatility indexes as VXST lost over 10% last week.  This was more than two times the drop in VIX and more than three times the drop in VXV and VXMT.  The result is a pretty darn steep curve indicating concerns about the second half of this year for the stock market are lurking around in option volatility.


Despite the drop in VIX the VIX of VIX rose last week.  As I typed that I realized that two of the bigger VIX option trades I saw on Friday involved traders covering short VIX call positions.  Keeping that in mind I may be accurate in saying that the higher VVIX is due to the move lower in VIX.  Finally, another thing that stood out on the table below was TYVIX managing a gain last week as well as the 10-Year T-Note futures experienced a relatively big drop.

VX Table

Since VIX remained low and the front two month futures lost value VXX and UVXY were lower and SVXY gained value.  For the year SVXY is now up over 14%, VXX is down almost 42% and UVYX has lost over 76% after being up over 100% for the year.


I’ve decided to add a new weekly update to this blog.  I’ve neglected many of the other volatility indexes quoted by CBOE so I’m going to include an update of the performance of those indexes as a final piece to this blog.  I sorted last week’s volatility index performance from biggest gain to biggest loss and the winner on the upside was VXIBM.  This is a function of IBM reporting earnings this coming week and I wouldn't be surprised to see VXIBM on the other side of this table next week.  The big loser was VXEFA which may be best described as a representation of all developed markets outside of North America.  I’m going to attribute this to a resumption of normalcy in Europe  after the final panic about Brexit came out of the markets.


Vol Indexes Big