There was a slight and uniform shift lower in the term structure of S&P 500 related volatility indexes last week. One might say this is a case of all indexes not having much more room to drop.
An ETN I don’t mention too much was interesting to me this week. VXZ was unchanged on the week as the longer end of the VIX futures curve was mixed. TYVIX also rebounded a bit at concerns over interest rates had been trending lower. The March Fed meeting concludes on the 15th which is right in that 30 day time frame. As the date gets closer and more people are talking about it TYVIX may be an index to keep an eye on.
Short volatility continues to work and long volatility (VXX & UVXY) continue to get hit.
Just for fun I turned on the time machine and took a look VXX, UVXY, and SVXY year to date performance as of this time last year. Amazing what a difference a year makes…
Finally, volatility is still around if you know where to look. Despite VIX dropping last year, the CBOE Russell 2000 Volatility Index (RVX) actually moved higher. China appears to be in play as VXFXI was the leading gainer last week.