In a bear market we refer to market bounces as ‘relief rallies’.  The drop in volatility last week may be attributed to some sort of relief, whether with respect to expectations around the coming election or that a good part of earnings season has passed without any catastrophic results.  Whatever the reason the curve moved lower as the S&P moved up slightly and the shape is a little less steep.


The long volatility funds had a tough time last week with VXX losing almost 10%.  Note TYVIX with a 3 handle which is the first time the interest rate volatility oriented index closed under 4 since July 3, 2014.  The close under 4 in 2014 would deserve an asterisk as it came in front of a three day weekend.


SVXY managed to close out the week testing 2016 highs while the opposite may be said for VXX and UVXY.


Finally, volatility was weak across the board last week with three exceptions.  The volatility indexes based on GOOG, AAPL and AMZN were higher last week, which is to be expected as those three companies are due to report earnings shortly.