VIX and VXN had quite a week with the equity markets coming under pressure. VIX was up almost 10% while VXN was up close to 17%. Many long NDX and SPX put option positions benefitted from the double whammy of lower markets and higher volatility. However, these two indexes were only half the story. The futures were the other half.
Despite the rally in the indexes futures barely budged this week. In fact the May, June, and July VIX futures were actually down a bit. Everyone that watches these markets is aware that VIX has been at pretty low levels for most of 2013. Not as many people have paid too much attention to the futures on VIX and VXN. Those curves have been pretty steep throughout the year relative to the low level of the indexes. The curves flattened dramatically this past week which is not too much of a surprise. The pattern lately has been a sell off and then quick recovery for stocks. That’s what the futures are saying we are experiencing once again.