VIX closed on an all-time low Friday and VXST was lower on the week as well, but note the right side of the VXST – VIX – VIX3M – VXMT curve where we had a slight rise in both the longer dated S&P 500 related volatility indexes.
The long ETPs were looking good on Monday, but they managed to give it back and more by the end of the week. Even SKEW and VVIX, which have been holding up relative to VIX most of 2017 are starting to work lower.
Across the spectrum of volatility indexes, most dropped last week, but in addition to the longer dated SPX related indexes, small cap stock volatility was higher (RVX) and volatility expectations for energy stocks rose last week.
UVXY began the week strong and by mid-day Monday the two times leveraged volatility linked ETP was trading around 16.10 a trader came in buying the UVXY Nov 3rd 16 Puts for 0.89 and selling the UVXY Nov 3rd 15 Puts at 0.34 for a net cost of 0.55. The outcome as of Friday’s close appears below, note the trade that cost 0.55 would result in a profit of 0.43 if held to expiration.
Also, if held through expiration the result would be a short position in UVXY. With the performance of UVXY this year, I bet the holder of this spread wouldn’t be too upset at that result.