The four volatility indexes based on S&P 500 option pricing were mixed on a week over week basis. VXST and VIX rose while VXV and VXMT dropped slightly. The result was a slight week over week twist in the curve below.
Note a couple of additions to the table below, VMAX and VMIN which have a different construction than VXX and XIV will now be monitored on a week over week basis. Both have a shorter-term outlook than the standard VIX related funds. The big standout on this table is SKEW which is rarely over 140, but achieve that level several days last week including Friday.
As far as VXX, SVXY, and UVXY, the year continues to favor being short volatility with SVXY up 22% for the year while VXX has lost 18% and UVXY has already given up 35% in 2017.
VIX and VVIX led the suite of volatility indexes at CBOE in performance last week. At the opposite side of the table are volatility indexes based on individual stocks and BPVIX. The stocks reported earnings which usually results in a volatility crush and BPVIX has been elevated relative to history as the world watches the Brexit process unfold.
Two VXX trades from late Friday are worth discussing. First, with VXX at 20.80 and about 30 minutes left in the trading week a trader sold 212 of the VXX Jan 27th 21 Calls for 0.43 and purchased 212 VIX Jan 27th 22 Calls for 0.23 and a net credit of 0.20. VXX finishing the day on Friday the 27th is a best-case scenario for this trade. The second trade has the same goal as the first, VXX under 21.00, but involved selling the VXX Jan 27th 21.00 Calls for 0.37 and then buying the VXX 27th 21.50 Calls for 0.24 and a net credit of 0.13. To save space I put both payoff diagrams in a single graph appearing below.