This Week in VIX Options and ETPs

Early this past week in the VIX option pit things were fairly quiet as the news early in the week was not very significant or market moving. There already seems to be more interest in the November options than October even though there are still a couple of weeks to October expiration. There was some small positioning in front of the jobs report on Friday and the debate on Wednesday night. If anything there was more put selling than call buying which would result from traders not necessarily believing in VIX moving up, but more of a bet that a bottom is in for VIX. VVIX continues to be at the low end of the historical range hovering around the low 80’s. On Thursday last week the Oct 16 straddle was quoted at 2.00 with the October futures at around 16.25. This was considered a clear indication of little buy interest in October VIX options. Friday, VIX tested recent lows in the mid-13 range corresponding with early equity market strength post the employment number.

With the S&P 500 higher and VIX lower on the week behavior of VIX related ETPs was as expected. In the long space there continued to be extra pressure coming from the continued contango of futures prices. The short VIX ETPs benefitted as well. Also, in VIX related ETPs of note were splits for both VXX and SVXY. A reverse split 4 for 1 split for VXX and a traditional 2 for 1 split occurred in the SVXY. Explanations on how splits impact option contracts may always be found at –