VIX was higher, but the futures were lower last week. Because of this disparity in price changes combined with the performance of VIX exchange traded products being tied to VIX futures and not the index resulted in a drop in low VIX ETPs across the board last week. The two major short oriented VIX ETPs were higher along with hedged and low volatility funds which traded up as well.
In VIX Option trading there was not too much demand for protection this past week despite the VIX index spending a good portion of the week with a 15 handle. Evidence of this lack of option buying could be seen on Thursday as VVIX hit a 2012 low of 78.42. VVIX is based on December and January VIX option contract trading. What is interesting is that although there is a focus on the fiscal cliff in the media, VIX option trading is not reflecting any real concern at this time. Maybe with a month to go the market believes there is time for things to get resolved.
Today was the second day a pretty interesting Dec put spread was traded. A great friend of the CBOE – Andrew Keene wrote a nice blog on this one earlier today.
Check it out at –