The VXST – VIX – VXV – VXMT curve mostly shifted lower this past week with VXST being the exception. We give VXST a pass as far as information goes since holiday weeks tend to put pressure on a measure of 9-day volatility.
My eye first went to TYVIX when looking this table over. Bond volatility has been elevated as that market has taken center stage since the election. TYVIX didn’t do a whole lot last week, but that is deceiving as it remains at the high end of the 2016 range.
SVXY had a great week rising about 4% and is approaching up 70% on the year. Ever since the end of a very volatile election there has been very low volatility for the equity markets which has benefited SVXY greatly and the fund is up 14.4%.
The holiday week seemed prime for low volatility and one trader put on a one-week trade that got it right. Last Friday, the 18th, with VXX at 29.05 there was a buyer of the VXX Nov 25th 30 Puts for 1.38. I know, it’s not too exciting, but with VXX finishing the day today at 27.82 that non-exciting put purchase was 2.18 in the money. Not bad for one week of work.