This Week in VIX and VXN

VIX remains at pretty low levels and I did notice an eleven handle on Friday out of the corner of my eye.  I state that it was out of the corner of my eye as I spent all day Friday with some real sharp students from the University of Illinois’ Financial Engineering program discussing VIX trading.

VIX is still above the low of 2013 despite the equity market moving on to all-time highs.  However, this does not mean the 11.30 low of 2013 will not be broken.  Continued bullish stock market action will bring more complacency and lower VIX.  April expiration is on Wednesday morning.  Keep an eye out for postings on settlement as soon as we get the numbers.  Despite only two days remaining for April futures to trade the April VIX settled 0.69 higher than the index.  This spread has been typical this year and I have to carve out some time to see what the normal Friday before Wednesday spread has been in the past.

VXN went out at a 1.62 premium to VIX which is about the average spread over the past year.  What is interesting is that April VXN futures are at a smaller premium (0.27) than the VIX futures versus the index premium.  We’ll see on Wednesday which futures market had Monday’s and Tuesday’s volatility trading action projected correctly.