This Week in VIX and VXN

VIX and VXN were up this week based on the drop in US equity markets. Near month futures were higher as well, but on the VIX side of things we say an actual drop in futures prices from December through May of 2013. A couple of things of note about VIX and VXN markets this week.

First, on the option side there was talk of relatively light October Call buying which gives the appearance that VIX option traders believe status quo market activity will be around for the next couple of weeks. However, the futures markets told a different story as prices dropped and the curve flatted a bit based on this week’s trading. The benefit is lower futures prices farther out on the curve for traders that have any feeling that higher market volatility may be on the horizon.

Something else that caught my eye was the move up in VXN relative to VIX this week. VXN was up 2.57 points while VIX rose 1.75. The spread was pretty narrow a week ago and has now widened to a normal level over the course of five trading days. I have done some historical studies on the behavior of VXN relative to VIX and believe trading opportunities will pop up from time to time as the spread between the two moves around. Keep an eye out as that paper has gone to press and should be released in a week or two.

The review of VIX options and ETPs that was posted this morning can be found at –

Also, an expanded webcast on VIX options and futures will be offered this coming Wednesday –