I apologize for the late postings. Friday night I gave my full attention to my six and eight year old daughters as we spent the night at a special event at the Field Museum. I’m still explaining that mummies and zombies are not the same thing.
The week over week change in VIX tells more of a story about last week’s market action than the S&P 500. The S&P 500 was up 0.17% for the week or just under 3 points for the week. VIX gained 8.25% on the week and that is a better indication of what was going on in the equity market last week. The S&P 500 was off as much as 2% this past week before recovering. Higher week over week VIX is reflecting that price action. It was noted that realized volatility for the S&P 500 is around 15 over the past 10 days. This realized volatility is basically in line with current spot VIX.
In VIX options a large portion of the activity was call buying early in the week which pushed VVIX into the 90’s before settling at 87.83. As far as ETN trading goes, for VXX all five days last week fall into the top ten historical volume for VXX. On Tuesday the 26th 114,477,300 shares of the VXX ETN traded which is the current record volume day and first time over 100 million shares of VXX traded in a single day. VXX was a good match for VIX last week as it gained 8.28% on the week.