This Week in VIX and VXN

The S&P 500 extended the weekly win streak to seven weeks in a row. With the S&P 500 higher, VIX was down, but under a little extra pressure due to the three day weekend we all get for President’s Day. Several studies have shown that a weekend always creates a little headwind for VIX and three day weekends provide a little more downside pressure. That extra pressure actually pushed VIX as low as 12.24 intraday Friday which is the lowest VIX reading since the financial crisis. Again, we may not want to read too much into that since it was Friday before a Monday holiday. What I like to do is focus on the front month futures contract. March is now the front month and that contact only lost 0.05 on Friday. The futures guys are well aware of the three day weekend and not just because they get to sleep in an extra day.

The NASDAQ-100 was down on the week partially being drug down by Apple (AAPL – 460.16) which was under pressure as investors try to get a feeling for what’s next in the post-Steve Jobs era. Despite a lower NDX, VXN was down as well. It may just be that volatility players are looking at the NASDAQ-100 performance excluding AAPL. There may be an index to be created for such a market barometer.

Both curves moved in a fairly parallel fashion with a bit more of farther dated risk being priced in by VXN than VIX. Finally, last week was expiration week for all volatility products. I defer to the piece posted by Michael McCarty on Friday in this space for a discussion of settlement. Check the link below –

Finally, I’ll be attending the NY Trader’s Expo Monday and Tuesday with a speaking slot on Monday to discuss trading VIX Options. If you are in the NY area and want to attend use the link below and stop by the CBOE booth to say hi, I’ll be there all day Tuesday discussing any option or volatility related topics –