This Week in VIX Options and ETPs

Despite VIX moving up almost 10% last week the long VIX related Exchange Traded Funds were down across the board.  Many of these ETPs have exposure to near month VIX futures.  With April up only 0.15 and May down 0.10 last week VXX and the other comparable VIX ETPs did not have a good week.   In the ETN space the PowerShares S&P 500 Low Volatility Portfolio (SPLV – 31.18) had good week considering the S&P 500 was down about 1% for the week.  SPLV does not use volatility derivatives, but focuses on owning stocks low volatility.

In the VIX options area VVIX has been showing some signs of life sticking around the 80’s.  It traded up to 89.25 based on the bearish equity market reaction to the employment number, but and finished the day at 84.49.  This puts VVIX slightly higher on the week.  For the first quarter of 2013 the average VVIX was just under 80.  The 80 price level has historically been a low point for VVIX, but with VIX so low this year and no real volatility events to speak of VVIX has remained low relative to the past few years.  A final note on where VIX option traders are putting their money for April.  The highest open interest is in the April 20 Calls with the April 17 and April 18 calls having heavy exposure as well.  It appears any expectation for a move higher anticipates the low to mid 20’s at best between now and April 17.

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