This Week in VIX and VXN

Low VIX. The End – honestly that’s what I feel like writing. But of course there’s more to the VIX market the just new post 2008 – 2009 lows. The S&P 500 has had quite a run in 2013 and has quietly work up 9% for the first quarter of this year. A key word there is quietly – VIX reflects the direction of the S&P 500 as well as ‘how we got there’. This grind higher as opposed to a dramatic random walk has had influence on VIX and VIX futures. VIX closed at 11.30 and is closing in on the psychologically significant 10 where a vigil will begin watching for VIX in the 9’s.

When asked what VIX did over a certain period of time I always look to the futures trading as well. VIX dropped 10% last week and the March futures lost 9%. March is at a 1.25 point premium to the spot index with two trading days to go. This is the third month that the premium on a percentage basis has been like this going into the last week of trading. We’ll see what adjustments occur first thing Monday morning.

VXN traded lower despite the NASDAQ-100 moving lower on the week. Again volatility indexes are all about how we got there and the NDX got there quietly last week. VXN is at a 0.73 premium to VIX which is near the low end of the historical range between the two. March futures have adjusted for this a little and are1.00 point apart. The average spread has VXN at a 1.50 point premium to VIX so that’s a bit closer to normal.