The short end of the SPX volatility spectrum dropped last week which following a holiday-ish weekend is a little surprising to me.  Maybe getting employment out of the way pushed VXST lower relative to the other indexes.  Also note VXV and VXMT outperformed VIX to the upside.  Take my word on this, VXV often leads VIX and is worth keeping an eye on. 

VXST VIX VXV VXMT 07072017

The long funds had a good wee with the unleveraged funds gaining over 2% and the leverage long funds rising by almost 5%.  The drubbing TYVIX took is interesting to me as I keep hearing concerns about the bond market. 

VXX Table 07072017

The year has not been kind to long volatility players (yet).  And it shows below.  Depsite the gains for VXX and UVXY they still are deeply underwater for the year. 

VXX SVXY UVXY 07072017

Before jumping to the volatility index section of this blog I would like to highlight something out of Barron’s.  Having recently closed out the second quarter Barron’s has a section this weekend highlighting fund performance.  Volatility funds were on the top of the 1-year performance lists with VMIN, XIV, and SVXY coming in 1, 2, and 3 respectively.  However, we know what is good for the short funds is bad for the long funds.  TVIX, UVXY, and VMAX topped the list of the worst performers over the past year.  For readers of this column I don’t need to offer up a lecture about how the long volatility funds are not buy and hold instruments. 

There was lots of talk about the price of oil last week, but silver gets the prize as the biggest upside mover among CBOE volatility indexes.  The top four on the list before are commodity related with gold and energy representing the other big movers. 

Vol Indexes 07072017

On Thursday, as the day came to an end VXX was trading a little over 13.50.  A trader who likes to share their experiences with me shot me a note saying they put on a bear put spread using the options that expired on Friday.  This one-day trade involved selling the VXX Jul 7th 13.50 Calls for 0.29 and buying the VXX Jul 7th 15.00 Calls for 0.05 and a net credit of 0.24.  VXX opened lower on Friday as the equity markets seemed to be pleased with the June employment report.  This trade was held through Friday’s close realizing a profit equal to the 0.24 credit taken in just over 24 hours before expiration.

VXX PO 07072017