VXN Futures –
The CBOE NASDAQ-100 Volatility Index (VXN) is a key measure of market expectations of near-term volatility conveyed by NASDAQ-100 Index (NDX) options. The VXN was flat last week and the futures contacts all lost value. This activity was very similar to the price activity witnessed in the VIX arena. Of note – the July VXN future settled at a 1.60 premium to the index – while the July VIX future was only at a premium of 1.15 to the index. An outlook for lower volatility into mid-July may be better served with a short VXN position as opposed to a short VIX position.