VIX was the biggest mover among the four S&P 500 related volatility indexes this past week. VIX dropped more than 5% while VXST lost 0.39% and VXV was down 1.19%. Longer dated volatility actually rose last week with VXMT gaining 0.28%. The curve remains very steep which I’m taking as uncertainty abounding with respect to the balance of 2016, especial the fourth quarter of 2016.
Most the data points on the table below are as one would expect after a relatively quiet week. VVIX moving up is a bit surprising, but the upper 80’s has been a common area for VVIX this year. At least when VIX is hovering around the low end of this year's range.
The year to date performance for VXX and UVXY continues to suffer from the low volatility environment while SVXY is now up over 19% for the year. It should be noted that SVXY has not recovered from the hit taken last fall and is still much lower than the all-time high of 97.40 just over a year ago.
The table below ranks the full suite of volatility indexes quoted by CBOE based on their performance last week. Oil Volatility was the big gainer, but even in the high 30’s is at the lower end of the recent range. Gold was a close second which may indicate some inflation fears are emerging. At the opposite end of the table are VXIBM and VXGS which dropped after IBM and GS reported earnings last week.
Finally, I came across an interesting trade that is taking a longer term look at volatility moving down. With VXX at 11.11 someone sold the VXX Jan 2017 20 Calls for 0.85 and then purchased the VXX Jan 2017 12 Puts for 2.95 and a net cost of 2.10. This trade works out with VXX below 9.90 on the third Friday of January next year. Interestingly I think that’s this expiration coincides with the next presidential inauguration. I doubt the two are connected, but you never know.