This Week In VIX Options and ETNs

In the VIX exchange traded product arena TVIX came back to life with a 1 for 10 reverse split on Friday. TVIX is based on a 2 times leveraged performance of the front two month futures contracts. In addition to establishing a tradable price through the reverse split, TVIX had a strong week rising almost 13%. The sole long only ETN that lost value last week was VXZ which focuses on the longer end of the VIX curve. VIX was strong and the front moth January 2013 contract gained as well on the week, but farther out on the curve the futures hardly budged and the June VIX futures actually were down on the week. 

Both VIX and the S&P 500 were higher last week and VIXH which has long VIX and long equity market exposure was beneficiary of this sort of unusual action. VIXH rose over 2% on the week. The low volatility funds were mixed based on their underlying markets with EEMV down a bit and SPLV and USMV rising for the week.

In the VIX option pit on Friday we witnessed a knee jerk reaction to the non-vote in Washington, DC. Early in the day VIX tested the psychologically significant 20.00 level reaching 19.93. There had been signs in the VIX arena that concerns were coming before the announcement Thursday night as VIX trended higher thought the day Thursday, but the market still acted pretty surprised that a deal may not be reached by the end of the year. In addition, on Friday the VVIX ran up over 90.00 which is a level that hadn’t been seen in some time. With turbulence hitting the markets on Friday there were buyers of both out of the money calls and put on Friday which may just be traders putting on positions that will benefit from swings in both directions over the next few weeks.

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