The S&P 500 and Nasdaq-100 were both higher last week and despite the rise in the underlying indexes VIX and VXN were higher as well. However, looking beyond the indexes to the futures shows a bit of a different story. All VIX and VXN futures were lower on the week. I am not surprised by the drop in December futures as there is a seasonal factor associated with holiday complacency and days off from trading that puts a little extra pressure on the December contracts. The move down across the board leaves me scratching my head along with checking my data.
As November came to a close the CBOE Futures Exchange experienced a record volume month. The total contracts traded record fell on Wednesday and I discussed that briefly in the blog found at the link below –
More details on November record volume will follow in this space next week.