Short dated volatility in the form of VXST was up over 70% last week. The uncertainty around this election has reached a frenzied point. That combined with the S&P 500 dropping about 2% resulted in the whole curve shifting higher. I discussed the 2012 before and after curves in an earlier blog which can be read here. I do expect short dated volatility to fall back in line, but where the rest of the indexes will be is anyone’s guess and depends heavily on the reaction to Tuesday’s election.
UVXY and TVIX had a great week, while the short funds gave up a good portion of this year’s gains. Note the elevated level of VVIX, which is signaling demand for VIX options. Some of the demand may be attributed to the put side of the equation.
Note the year to date performance is still dramatically different for the short fund versus the two long funds. Even rising almost 30% this past week didn’t help the UVXY performance for the full year too much.
Finally, all 29 volatility indexes quoted by CBOE managed to rise last week. It seems risk is broad based coming into our election week.