What the heck is going on with VXST on the chart below? Basically Thanksgiving. As a nine-day measure of SPX implied volatility this index takes into account options that have their implied volatility under pressure to adjust for extra time decay since we have Thursday off and a half day this coming Friday. I have a funny feeling this time next week VXST will have fallen back in line (or contango) with the other indexes below.
The long funds were a bit lower last week with the exception of VMAX which focuses on shorter dated futures. The shorter time frame did have a negative impact on VMIN, but long term holders probably aren’t too concerned since VMIN is the leading performer in this space for 2017. SKEW popping up as VIX moves higher is always an eye catching event.
Around the volatility space things were pretty mixed after being mostly higher the previous week. This is the first time I can recall both GVZ and OVX at the bottom of the performance table during the same week.
Wednesday VIX spent some time in the teens and VXX followed to higher levels. At least temporarily. Mid-day Wednesday, with VXX at 35.85 someone put on a bearish VXX spread by selling 1000 VXX Nov 17th 37 calls at 0.38 and buying 1000 VXX Nov 17th 35 Puts for 0.28 taking in a credit of 0.10. The result is a payoff at expiration which came Friday on the close. Note the trade worked out quite well, if held to expiration.