This Week in VIX Options and ETPs

The equity market as measured by the S&P 500 was lower this past week and VIX trended down a bit as well closing just under 14.00 at 13.98. The low of the week for VIX was 13.61 which held above the previous week’s low of 13.51. The unlucky number 13 is becoming a support range for VIX and we have yet to witness a 12 handle on the index. Historically VIX has had levels that were considered a normal range to define what is high or low volatility. This 13 level may be establishing the low end of the range.

The VIX option market was somewhat quiet on the week. September options settled on Wednesday morning with a whimper at 14.04 and October became the front month. Late last week and early this week positions that were established in September options were rolled out to October and by the end of this past week the VIX pit was quiet as the rest of the CBOE floor dealt with triple witching. Of note there were some big buyers of out of the money October and November VIX Calls and on Friday there appeared to be a big seller of the October 22 Calls for around 0.50.

Keeping up with the Exchange Traded Product market is a challenge, but I feel up to it. I made some changes based on new products to what I’m watching in this area this past week. With the introduction of the First Trust CBOE S&P 500 VIX Tail Hedge (VIXH) exchange traded fund we now have an ETF that is truly exposed to the markets with a dynamic hedging component in VIX Call options. This fund falls into the hedged category on my reworked table. What I was classifying as hedged falls more under a low volatility category so I have created a forth category and also added PowerShares S&P 500 Low Volatility Portfolio (SPLV) to the list.

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