With the continuation of the election related equity market rally comes even lower SPX option implied volatility. The curve shifted lower across the board, but do note the angle steepens a bit between VIX and VXV with VXV representing IV into 2017.
The performance table lives up to expectations after a week where the S&P 500 rose 3%. A couple of things that are worth note. VVIX remains at relatively high levels despite VIX being under pressure. SKEW finished the week under 120.00 which is interesting considering VIX is low and SKEW has spent most of the year at the higher end of historical averages.
UVXY lost 20% and VXX was down more than 10% last week which just adds to what was a tough year for long volatility funds. SVXY managed to pick up 10% which places the short volatility ETF at up over 78% for 2016.
The table below continues with the low volatility theme that was last week. Only a handful of volatility indexes quoted by CBOE were higher with VXGS leading the way.
Mid-afternoon Thursday with VXX at 26.40 someone came in with a trade picking a range for VXX on standard December (12/16) expiration. Specifically, they sold the VXX Dec 27.50 Put for 1.82 and sold the VXX Dec 28.00 Call for 0.52. An iron condor was created with a purchase of the Dec 23.50 Puts at 0.07 and Dec 32.50 Calls for 0.14. After all that a credit of 2.13 was taken in along with a payoff that looks like the diagram below.