The VXST – VIX – VXV – VXMT curve mostly shifted lower this past week with VXST being the exception.  We give VXST a pass as far as information goes since holiday weeks tend to put pressure on a measure of 9-day volatility.vxst-vix-vxv-vxmt

My eye first went to TYVIX when looking this table over.  Bond volatility has been elevated as that market has taken center stage since the election.  TYVIX didn’t do a whole lot last week, but that is deceiving as it remains at the high end of the 2016 range.

vxx-table

SVXY had a great week rising about 4% and is approaching up 70% on the year.  Ever since the end of a very volatile election there has been very low volatility for the equity markets which has benefited SVXY greatly and the fund is up 14.4%.

vxx-svxy-uvyx-chart

The holiday week seemed prime for low volatility and one trader put on a one-week trade that got it right.  Last Friday, the 18th, with VXX at 29.05 there was a buyer of the VXX Nov 25th 30 Puts for 1.38.  I know, it’s not too exciting, but with VXX finishing the day today at 27.82 that non-exciting put purchase was 2.18 in the money.  Not bad for one week of work.

vxx-po