This Week in VIX and VXN

Like the other volatility markets the curves and tables below do not do much justice to the volatility market activity last week.  It appears that we experienced an orderly parallel shift higher in the VIX curve which coincided with a 2% drop in the S&P 500.  I have the Red Hot Chili Peppers blaring Love Rollercoaster in my mind as I think about last week in VIX futures markets.  We experienced some backwardation along with very heavy volume.  VIX futures volume came very close to 450,000 contracts on Monday which was about 50% higher than the previous record.  In fact the three busiest days in VIX futures trading occurred this past week.

The NASDAQ-100 underperformed the S&P 500 this past week dropping 2.6%.  I think the 7% drop in shares of AAPL is the culprit in this underperformance.  VXN closed the week at 17.17 and a 2.20 point premium to VIX.  This is as wide as this spread has been in some time.   The May VXN futures adjust for this a bit and the contract is basically in line with the index.

VIX VXN