This Week in VIX Options and ETNs

The S&P 500 dropped about 1/3 a percent and VIX rose on the week. The rise for VIX may appear to be a little extreme, but there is probably a little boost coming from the scary months of September and October upon us. VIX climbed 15% on the week and is making its way to the psychologically significant 20.00 level without much help from a lower S&P 500. The long ETNs were mostly higher, with the exception of VXZ, based on VIX moving up. However, remember these ETNs based their performance on futures contracts. VXX for instance is comprised of September and October VIX futures. September was up just over 2% on the week and October was unchanged. VXZ was the sole loser in the long only VIX ETN space which should not be too much of a surprise when VIX futures prices are checked. VXZ is comprised of December through March VIX futures contracts all of which were lower last week.

With the S&P 500 lower and VIX futures not moving up much, USMV was down slightly on the week and EEMV was down almost 1% as emerging markets were lower by about 2% based on the EEM exchange traded fund. Finally, the short VIX ETNs took it on the chin by about 2% based on the slightly higher VIX.

Be aware that UVXY has declared a 10 for 1 reverse split effective next week and the price may appear to dramatically rise on Friday. Also of interest, First Trust rolled out a new ETF with VIX in the name. The S&P 500 VIX Tail Hedge Fund (VIXH) targets the CBOE VIX Tail Hedge Index (VXTH). VXTH tracks the market value of a portfolio long the S&P 500 and long one-month 30 delta VIX call options. More information on VXTH can be found at –

Every day this past week when I visited the VIX pit I heard the same word from traders.  That word was quiet. One feeling was that comments from Ben Bernanke on Friday had the market pausing a bit, but even though the S&P 500 reacted with price action, things didn’t pick up too much as far as VIX option activity. There had been buyers of September calls and the focus now seems to be moving to October. This is a little surprising considering we still have over two weeks left until September expiration. One interesting comment was on VVIX which moved over 96 in front of Bernanke’s comments and the retraced afterward.