When there is not a whole lot going on to impact the financial markets we can get fixated on different topics. Maybe that is what is going on with me and the French Election process. The steep difference between VXST and VIX on the chart below may reflect the time frame being measured by VXST being just short of the pending rise in implied volatility that is expected in front of round one of the election in a couple of weeks. It will be interesting to see if we get a relative rise in VXST this week as options that are used to determine the level of VXST are those corresponding with election expectations.
VXX and the long funds were up a bit more than spot VIX as April VIX moved to a slight premium relative to May. Despite little movement in TY futures, TYVIX was also higher last week. Also of note, SKEW dropped, which we may blame on slightly higher volatility across all SPX strikes. Finally, VVIX just under 90.00 may be an early sign that the low volatility many traders have enjoyed in 2017 may be coming to an end.
VXX and UVXY got boosts last week, but performance for each fund in 2017 is still deep in the hole. Short volatility was lower last week with SVXY losing over 4%, but note it will take several weeks like that for SVXY to give up all of 2017 performance.
Although coming off a low base, the majority of volatility indexes quoted by CBOE were higher last week. At the top of the list are EVZ representing Euro Currency risk and VXEFA which is based on options trading on EFA ETF which is strongly influenced by European stock prices.
Finally, a roll in VXX. The last trade of size in VXX last week was a buy of VXX Apr 7th 16 Calls at 0.46 and a sell of VXX Apr 13th Calls at 0.68. I’m going to assume this end of the day execution was about avoiding short it the money call assignment on the April 7th calls as VXX was trading at 16.45 when the trade was executed. I’m going to watch the 16 line this coming Thursday and if VXX is over 16 check for a similar trade at the end of the day.