VIX was the only S&P 500 related volatility index that lost value last week. VXST rose, probably getting a boost from coming off a long weekend. The longer dated volatility indexes mirrored the action in longer dated VIX futures by moving to the upside. April seems to be the next month of concern among volatility players with the pending election in France.
Other pockets of volatility are showing up in the table below. SKEW finished the week near recent highs and VVIX rose a bit. The longer dated ETPs also were where some of the action was at with VXZ up almost 4% and ZIV giving up about 3%. It really does feel like a storm is rolling in and everyone is starting to prepare for a long overdue drop in the equity markets.
I didn’t run the numbers, but it sure seems like this is the first week where SVXY was lower and the long funds gained ground. For the year SVXY still has a very comfortable lead.
The three biggest volatility index gainers on the list below have a common theme, non-US markets. The top of the list if VXEFA which is based on EFA ETF option pricing. This ETF is best described as developed markets outside North America (ex-US and Canada). Just behind VXEFA are volatility indexes based on a handful of emerging markets and Brazil.
Finally, the markets are starting to look to April with the pending resolution of the electoral process in France. Of course, the outcome may create more issues with respect to the future of the Eurozone. On Friday, there was a bullish VXX trade that is looking out to standard April expiration. With VXX at 18.49 there as seller of 2000 VXX Apr 19 Puts at 2.32 who purchased 2000 VXX 16 puts for 0.67 and a net credit of 1.65. VXX over 19.00 results in a profit equal to the credit of 1.65. The worst-case scenario has VXX bellow 16.00 on the third Friday in April which would results in a loss of 1.35.