A big week for stocks along with the consistent steep contango of VIX futures prices put some real pressure on long VIX related ETPs last week. VIX was down 7.74% and all the long ETPs were down more than the spot index. Conversely, the two major short focused VIX ETPs were up about twice as much as the drop in the spot VIX index.
In addition to VIX coming under pressure this past week, VVIX was also bordering on the low end of the range finishing the week at 82.86. Often when VIX is under pressure institutions will use the opportunity as an opportunity to buy out of the money VIX calls. This demand will push VVIX up a bit so the low VVIX in addition to low VIX shows all around complacency in the market place. Whether this is attributed to a holiday week or the market is feeling the fiscal cliff situation will work itself may be figured out next week as we get back to a full week of trading.