With the S&P 500 zig zagging this week, but finishing up by just over a quarter of one percent the curve was little changed. With one exception, VXST dropped 10% after we got past the FOMC minutes and the markets started to look forward to nothing for the next couple of weeks. VIX and VXMT rose and VXV was lower. I can’t remember the curve shifting like this ever, but since three out of the four moves were pretty small I wouldn’t read too much into it.


The long VIX related ETPs came under some pressure as the front month moved to June and contango remained pretty steep. Even VVIX came down a bit last week, but I think we can attribute that to a lack of eminent and known potential market moving events until after the Memorial Day holiday.

VXX Table

SVXY topped the 10% year to date return level. Long term holders of SVYX (or those that have had the fund since the last day of 2015) earned that 10%.  What I mean by that is that at one point in 2016 SVXY was down just over 38%. Not only does SVXY give individuals a method of being consistently short volatility, but it also gives me a teaching example on how being short volatility is like picking up nickels in front of a steam roller.


I got a question about VIX and Fridays via twitter last week. Specifically, I was asked if VIX is more likely to be lower on a Friday than any other day. I knew the answer, but wanted to update the numbers before reporting back.

The numbers below show the one-day change for VIX based on the day of week from January 2, 1990 through May 20, 2016. I highlighted both Monday and Friday to make a point about the impact of weekends. VIX is calculated to show a 30-day outlook. However, this outlook is based on calendar days, therefore the weekend has a bit of an impact on VIX. In fact, there is a weekend impact for all implied volatility as the market adjusts for the weekend on Friday afternoons. Note that VIX is down just over 60% of Fridays while VIX is higher almost 65% of Mondays. The average, not taking days into account is 52% lower and 48% higher.

VIX Day of Week Update


Now the bad news. VIX futures traders adjust for this as well so the record of up versus down days for the index does not translate to the futures markets. I feel it was my duty to pass along that tidbit of news before closing out this blog.