The VXST – VIX – VIX3M – VXMT curve shifted lower with even VXST, which was under extra holiday week pressure going into the 11/17 close, losing value last week. Looking at VIX3M and VXMT one might think traders expect 2018 to be a continuation of what we’ve had in 2017, at least to start the year.
The long funds resumed their downward move while the short funds bounced as they do following any short lived strength in volatility (I have a hard time calling a move to the low teens a ‘spike’). VVIX remains a little elevated, but even the vol of VIX options seems to indicate little danger to the markets in the next few weeks.
A large number of volatility indexes quoted by Cboe moved lower after the majority were higher the previous week. I tried to find a pattern in all this and came up with a whole lot of nothing.
VXX had a nice week the week of the 17th but gave it all up this past week (and more). I went searching for bearish VXX trades on the afternoon of the 17th that expired this Friday and was surprised at how hard I had to look to find a good VXX fade. With about 90 minutes left in the day on the 17th and VXX at 34.30 someone sold 200 VXX Nov 24th 34 Calls for 0.83 and bought 200 VXX Nov 24th 34.50 Calls for 0.66 taking in a credit of 0.17. The risk on this was 0.33 which would have been the result with VXX over 34.50. We know that was not the case at all and this trade turned out well with the drop in VXX this past week.