I’ve been traveling like a madman on behalf of CBOE in June. I try my best to keep up with the markets when I’m out and about, but sometimes the catch up occurs outside of real time. This weekend is one of those catch up weekends. I was aware of the VIX move over 15.00 (who wasn’t?) and that VIX was a bit higher than it had been for most of 2017 to finish the week. What surprised me was the level of VXST on Friday.
VXST is a measure of 9-day volatility expectations as indicated by short dated SPX option contracts. When we have holiday weekends VXST tends to come under a bit of pressure since there will be an extra day without trading figuring into the calculation. Hence my surprise when VXST was elevated as much as it was on a week over week basis on the VXST – VIX – VXV – VXMT term structure chart below.
TYVIX up 20% stands out on the table below which is probably a function of last week’s VIX spike being somewhat central bank oriented. VXX was higher, but VXZ lost a bit of value. As a reminder VXX owns the front two month VIX futures while VXZ is long months 4 through 7. The short end of the VIX curve was higher while the long end was lower last week.
We ended the first half of 2017 on Friday and the result was VXX down just a rounding error less than 50%. SVXY has a stellar six months as short volatility strategies have ruled in 2017.
The FANG stocks have been in the news off and on lately due to some pressure which I’m going to attribute to profit taking or more willing sellers than buyers (both are silly statements, I know). Whatever the reason, the option markets on the FANG (Facebook, Apple, Netflix, Google) have been very active and we have an example of this as VXAPL and VXGOG were the leading gainers last week. Price action plus earnings season being around the corner contribute to the strong moves in the individual stock volatility indexes.