The market digested the May Non-Farm Payroll number on Friday with both (weak) bullish and bearish cases being made for equities. I was asked about the number and my very non-quantitative response was to point to a tweet from Benzinga which depicted a guy just shrugging and looking bored. The week was pretty similar with the S&P 500 dropping 0.69% and all four of the volatility indexes in the term structure chart below moving higher, but by less than 4% across the board.


The bond market was a bit more exciting as 10 Year futures were down over 2%. On a week over week basis TYVIX rose about 5%. However, on Wednesday TYVIX was up over 13% relative to the previous Friday’s closing price. I would expect TYVIX is going to be pretty volatile as the market debates when the Fed will raise rates.

VXX Table

In mid-May AccuShares launched two new VIX funds - the Spot CBOE VIX Fund Up and Sport CBOE VIX Fund Down Class Shares using the tickers VXUP and VXDN. The goal of the funds is to match a long or short position in VIX. There is a distribution methodology that does not take effect until mid July that will help the funds better match the performance of either being long or short spot VIX. The process is a bit much to describe in this space so feel free to visit if you have more interest in how the funds work. The chart below shows the performance of VXUP, VXDN, and VIX from May 18th when the two funds where launched through Friday.


VXUP has gained 14.04% and VXDN is down 14.00% while VIX has gained 11.63% during this time period. I expect that disconnect with improve, meaning the funds will track more closely the long or short returns on VIX when what is referred to as the corrective distribution measurement timing process takes effect on July 16.