The EEM exchange traded fund was down slightly on the week as was the implied volatility of EEM options that feed into the CBOE Emerging Markets ETF Volatility Index or VXEEM. Global markets often take direction from the US stock market and this was the case Friday for the EEM which rallied almost 2%. This strength pushed the VXEEM to lower levels for the week. August was the weakest month on the futures curve losing almost 4% for the week. This sort of activity was evident in VIX and VXN futures as well where risk seems to be coming out of the markets for the summer (or at least through August expiration).
Brazilian stocks have been in flux due to country specific issues in the past few weeks. In the month of May the EWZ lost about 15% and the VXEWZ rallied accordingly. This past week saw a continued return to lower volatility levels with the EWZ in the upper 20’s (a fairly normal historical level) even though the EWZ was down on the week. The July futures were down 7% as the premium diminished in front of July expiration.