If you took last week off from trading and are playing a little catch up this morning the week over week term structure chart appears to say you didn’t miss much. Aa I type this I think, who would take a break when GDP and FOMC announcements are on the schedule, but now I am getting back on track.

Term Structure

Since the picture above misses a 20 point S&P 500 drop on Thursday followed by a 20 point gain on Friday I decided to create a graph showing the lows and highs for VXST, VIX, VXV, and VXMT last week. Note the highs for the week place the curve in a little backwardation.

Term Structure Range

Due to the choppy price action last week both the unleveraged long (VXX et al) and unleveraged short (XIV and SVXY) funds lost value. The only fund that had a good week on this table was ZIV which focuses on the longer end of the VIX futures curve and offers short exposure.

ETPs and Indexes

Something that stands out a little to me on the table above is the week over week change for SKEW. SKEW measures relative implied volatility for far out of the money SPX puts versus SPX puts that are not as far from the current market. In layman’s terms SKEW is an indicator of traders paying up for risk against a tail event. Despite getting the initial 1Q GDP and an FOMC announcement behind us SKEW moved a little higher. Maybe traders are looking ahead to this coming week’s non-farm payrolls number for April.