The short end of the VXST – VIX – VXV – VXMT curve rose last week as volatility moved higher in reaction to comments coming from the annual get together in Jackson Hole. The result is a bit less steepness in a curve that has been pretty darn steep the past few weeks.
The long volatility funds got a small reprieve from the severe downtrend in performance that has been in place since the first quarter.
SVXY gave up some performance last week and VXX along with UVXY got a little back, but they still have a long way to go to get back to even for 2016.
The equity market wasn’t the only place where we had volatility last week. CBOE quotes 29 volatility indexes and 28 of them were higher on a week over week basis.
Late Friday there was an interesting group of trades that occurred in standard September VXX options. With VXX trading around 37.60 someone came in and gobbled up the VXX Sep 16th 63 Calls paying 0.13 for about 6000 contracts. To pay off we need quite a volatility event in the near future as the break-even level for this trade is 68% higher than where VXX was trading when this trade was executed.