US stocks were slightly lower as indicated by the S&P 500 (SPX) and NASDAQ-100 (NDX) dropping 0.32% and 0.47% respectively. With stocks lower the spot VIX and VXN rose and near month futures followed suite by trading up on the week. Beyond that things started to ‘disconnect’ a bit.
January 2013 VIX futures were down 0.05 to 17.20 while the VXN January 2013 contract was up 0.50 to 20.15. The spread between these two is 2.95 points which is at the higher end of the spread over the past few months. I believe the continued volatility in shares of Apple (AAPL – 509.79) continues to push VXN up at a higher pace than VIX.
A paper was actually released this past week that dives into the spread between VXN and VIX. This can be downloaded at http://cfe.cboe.com/products/VXN_WP.pdf