Under no circumstances does the week over week change in the VXST – VIX – VXV – VXMT curve tell the story of last week. There’s something worth noting, but last week is not done any justice at all if a line showing Monday closing prices is not included, therefore it is.
What strikes me as noteworthy about the week over week change in something that is very subtle on the term structure chart that appears above. Note that VXV and VXMT actually rose last week. That can be taken as an indication that option traders are still bracing for more downside in the equity market, however they aren’t concerned about near term price moves.
The little loved VIX of VIX (VVIX) popped up on Monday and screamed for attention. Unfortunately, with the exception of Adam Warner from Schaeffer’s Research, the all-time high put in by VVIX on Monday was kind of lost in all the other stats being thrown around after Monday’s equity market drop. The chart below shows the whole history of daily closing prices for VVIX and do note on the far left that line pops up about 20 points higher than the previous record high.
Giving credit where credit is due, Adam’s blog appears in the link below –
To quote a really smart guy, “VXX did what it is supposed to do” last week in conjunction with the dramatic move higher in volatility. A common complaint pops up when VIX rises and VXX lags, interestingly the opposite happened on a week over week basis. VXX is a mixture of September and October VIX futures, both of which were up over 20% last week.