The iShares MSCO Emerging Markets Index ETF (EEM – 39.28) was down about 2% on the week and VXEEM rose over 12%. The dramatic piece here is not what happened with the index, but what occurred on the curve. The September contract was up just over 1%, with October and November actually losing value. Much has been said about how steep some volatility curves have been as of late. Well the VXEEM curve managed to straighten out that angle a bit.
The iShares MSCI Brazil Index (EWZ – 52.72) was down 3% and with EWZ under pressure VXEWZ rose about 8% to 30.28. A 30 handle for the other equity market related volatility indexes would be considered pretty high, but this is still below the historical average of 33.25. In fact things are quiet enough that Forbes had an article this week titled B in BRICs Stands for Boring. If you aren’t aware, BRICs stands for Brazil, Russia, India, and China which are grouped together as the top four emerging markets. VXEWZ stands out a bit as well as the curve had a relatively parallel shift on the week. Futures contracts climbed in unison with the index’s gain and the curve shape appears to indicate the market is braced for more volatility in the EWZ.