This Week in VIX and VXN

Usually the VIX gets media attention due to a drop in the stock market and a spike higher in VIX. The love coming VIX’s way these days is due to the low level of VIX. Friday VIX finished the day at 13.45, which is a level not seen since mid-2007. Some of this may be attributed to it being a time of year where many market participants are on vacation or planning on getting their kiddies back in the classroom. Another time of year that market participants focus on is September – October. These are the months that seem to hold negative surprises for the equity markets. Checking out VIX futures trading this past week note that with the exception of the August contract that expires on Wednesday, the futures prices did not follow the index lower. Farther out on the curve (early 2013) the markets were actually higher on the week.

If the low VIX is headline grabbing, VXN should be the cover story. VXN closing Friday at 13.79 is the lowest VXN since December 2005. In addition, CBOE has VXN data going back to October of 2000. VXN has been lower than Friday’s close only 17 of over 2900 trading days. The all-time low for VXN is 12.61 and we will keep a close eye out for that level.

Also, if you have interest in the VIX options, Exchange Traded Notes, and Exchange Traded Funds I posted a review of those markets last night –

http://www.cboeoptionshub.com/2012/08/17/this-week-in-vix-options-and-etps-by-russell-rhoads-cfa-2012-08-17-6-02/

VIX - VXN.jpg