This Week in VIX and VXN

The S&P 500 was down a little on the week, but looking at the price action in VIX one would guess the S&P would have lost more than just 0.3%. VIX usually is weighed down a bit in front of three day weekends as well, but despite a relatively quiet S&P 500 and long weekend VIX rose over 15%. Now in the mid-17 range, VIX is grinding toward the psychologically significant 20 level. Of course if the futures markets had been consulted, this would not be news to anyone. Near month futures have been at a relatively significant premium to VIX over the past couple of weeks. This spread narrowed with VIX up over 2 points while September futures rising 0.40 points and October futures actually flat on the week. Going farther out on the curve, VIX futures actually lost value despite a VIX rally.

VXN was also higher on the week rising over 10% and VXN futures prices reacted with quite a yawn. VXN futures, like VIX futures were at a significant premium, that spread has narrowed and any continued rise in VXN may result in a more parallel shift of the curve.

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/2012/08/31/this-week-in-vix-options-and-etns-by-russell-rhoads-cfa-2012-08-31-4-31/Attachments:

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