This Week in VIX Options and ETPs

The grind higher that is the S&P 500 performance is starting to frustrate me. No I am not short the market or long VIX. I get a bit exasperated at writing the same recap week after week. SPX moved up, VIX has an 11 handle now and at 11.30 has the lowest close since 2007. Note the low in the spring of 2007 was 9.89 and VIX did get up to the 30’s before that year was over. I know we all try to forget the markets in 2008 and 2009, but 2007 came just before that debacle. At some point VIX is going to spring back up to noticeable levels. The question is, when? Many VIX traders would love a crystal ball that told them when.

Something that is different and stood out a bit to me was VVIX. VVIX is the VIX of VIX. The rule of thumb for some time was that VVIX oscillated between 80.00 and 120.00. That rule has been rewritten as of late with VVIX spending some time in the 70’s (for some strange reason bell bottoms just popped in my head – if you don’t get it ask your parents). VVIX and VIX tend to move in step as when volatility spikes buyers of VIX calls come into the market place and tend to push VIX option implied volatility higher. This past week VIX was down and VVIX moved up. It appears some players are using the low VIX levels to buy options.

In the ETN space, VXX is bordering on the teens suffering from the consistent contango that shows up in the VIX futures arena in combination with the low level of VIX and VIX futures prices. Finally, standard options expired this week – remember March VIX expires on Wednesday. We will see if expiration bring an 11 handle to match the current VIX market.

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