The S&P 500 was up 1.65% on the heels of a good showing in JP Morgan (JPM – 36.07) stock in response to earnings on Friday. This rally in stocks had the opposite impact on the VIX and VIX futures taking what looked like it was going to be a strong week for the VIX and turning it into a loss of just over 2% for the week. On Friday the VIX dropped over 8% in response to the rally in stock prices.
Along the VIX curve the activity was a bit interesting. July futures dropped more than the spot index, losing over 4% in value. This can be attributed to a narrowing of the gap between the futures and index along with the lower VIX. July expiration is this coming Wednesday and typically as we approach VIX expiration the expiring future price will gravitate toward the index. I found interesting the weakest futures contracts being the August contract which lost over 6%.