Emerging markets followed US stocks higher last week and the result was even better performance from emerging markets that we saw from the more developed indexes.. The iShares MSCO Emerging Markets Index ETF (EEM – 42.37) gained over 4% and interestingly implied volatility rose with VXEEM gaining 2.60%. VXEEM futures were mixed with September and October futures moving up and November and December contracts losing value. The result was a very interesting shift in the curve of VXEEM futures prices. Also, the September contract was up 6.61% moving from a discount to a premium relative to the underlying index.
The iShares MSCI Brazil Index (EWZ – 57.06) gained 3.22% last week which puts EWZ up over 8% for September. VXEWZ lost 6.56% to close at 26.62. This would be considered high implied volatility for developed markets, but is relatively low for VXEWZ. Unlike the VXEEM curve, he VXEWZ curve experienced a parallel shift with all futures dropping between 6% and 8% for the week.