VIX and a Friday Headwind

It has been noted by several VIX watchers (including me) that there is a day of week influence for VIX. Over the long term, VIX has a bit of a headwind on Fridays and a tail wind on Mondays. What I mean by this is there is some pressure holding VIX back on Fridays and a little help pushing VIX up on Mondays that relates to the calculation used to determine VIX. 

VIX is a measure of 30-Day implied volatility for the S&P 500 index as indicated by SPX option prices. The key to this discussion is the 30-Day part. This is 30 calendar days, not trading days. So when Friday comes along, we have two non-trading days right in front of us. The market adjusts a little for these two non-trading days and the result is a little lower implied volatility for the options that are used to determine VIX. When Monday rolls around, there is a bit of an adjustment again in the market that takes implied volatility up a bit and the result may be a higher VIX that would occur on another day of the week under similar circumstances.

So now we know VIX has a headwind on Friday and a tailwind on Monday, that’s good to know, but not good to trade. The futures, options, and exchange traded products (VXX, VXZ, TVIX, etc.) adjust for this as well and as far as I can tell there’s no edge in the tailwind or headwind to be traded. 

Finally, this weekend is a three day weekend, so do note there may a little more headwind today than on a 2-Day weekend Friday.