S&P 500 volatility was higher across the four indexes that measure expected volatility over different time frames.  Keep an eye on the VIX3M to VIX relationship if VIX remains at higher levels.  VIX3M can be an early indicator for a rise in VIX.


The long funds rose a bit with VMAX getting a big bump as the weighting is focused on a shorter time frame than the other unleveraged long funds.  Also note VVIX in the mid-90’s, like VIX3M VVIX can be a leading indicator of a higher VIX.

VXX Table 12012017

Across the volatility spectrum most indexes were higher last week.  The volatility indexes that lost value were a mix of markets with no common theme. 

Vol Index Prices 12012017

During all the action mid-day on Friday one cooler head prevailed in the form of a SVXY trade.  With SVXY at 104.81 there was a seller of SVXY Dec 1st 103 Puts for 1.40.  The outcome based on the close Friday appears below.

SVXY PO 12012017

The seller of this put took on the obligation to buy shares of SVXY with a net effective price of 101.60.  This would result in buying the shares at 10% lower than where SVXY closed on Thursday.  Buying SVXY on any weakness in 2017 has worked quite well so I assume the seller of these puts may have been OK if that had been the result.  SVXY closing at 109.76 was probably a result that this trader was happy with as well.