When S&P 500 implied volatility is already low there’s not much room for a further drop. That was the case going into this past week and as seen below with the S&P 500 climbing all four of the S&P 500 related volatility indexes were lower, but not by much.
VVIX in the mid 80’s remains high, but believe it or not that may reflect VIX Put buying instead of VIX Call purchasing. Demand for puts on any VIX strength or to take advantage of steep contango resulted in some large purchases last week. SKEW is also pretty high, but may be more of a function of lower IV for SPX options with strike prices that are not as far out of the money on the put side.
SVXY continues to march higher, benefiting from contango and low VIX. What’s good for SVXY is bad for the other two funds on this chart as VXX lost about 6.5% and UVXY was down over 13% last week. As a quick reminder VXX and VXZ prices will be higher on Monday as they undergo a 4 for 1 reverse split.
Finally, in the rest of the volatility world, developed market risk (excluding North America) was much higher last week with VXEFA climbing over 23%, although off a low base. AAPL volatility rose as well, despite earnings just having been announced. I believe there’s a product announcement in the future and there was some other news impacting AAPL shares last week. Finally, in the spirit of the Olympics, Brazil volatility gets the Bronze rising about 5% last week.