This Week in VIX and VXN

Upon first glance there was some divergence in the US equity markets this past week as the S&P 500 was up over 1% and the NASDAQ-100 was down about a quarter a percent. Of course knowing that Apple (AAPL – 439.88) lost 12% on the week and as AAPL is the biggest component in the NASDAQ0100 this weighed a bit on performance.

More divergence occurred between the S&P 500 and VIX along with NASDAQ-100 and VXN. The S&P 500 finished the week higher as did VIX and the NASDAQ-100 was lower as was VXN. One possible explanation for VIX is that there is a slew of economic data along with an FOMC meeting next week. With VXN the explanation of performance may go back to AAPL. The implied volatility of AAPL was elevated going into AAPL’s earnings this past week and this bled over into the implied volatility of NDX options. Post AAPL earnings there was a volatility crush in AAPL options and some pressure on VXN.

Finally, the curves both flattened as all VIX and VXN futures finished down on the week. Although under pressure, VIX futures posted the fourth busiest day ever on Thursday this past week with 184,273 contracts changing hands.