The high low range for VIX this past week was just over a point at 1.04. This is the narrowest range since February of 2007 and indicates some real complacency in the markets. Just when it appeared the volatility markets were quiet, things got quieter. VIX option volume was fairly light for the first four days this week. Average daily volume for 2013 has been over 600,000 contracts. Each day until Friday saw volumes in the 300,000 to 400,000 range. Things did pick up with intra-day volatility on Friday.
Activity has mostly been in the VIX May 18 and May 19 Calls where cheap protection against a quick drop in the equity market could result in a nice leverage return. The VIX May 18 Calls finished Friday at 0.20 and the VIX May 19 Calls closed at 0.15. Looking a little farther out on Friday there was a buyer of over 100,000 VIX Aug 18 Calls while selling the VIX Aug 24 Calls. It appears this trade was done for about a 1.00 debit.
The long ETNs ground lower as VIX and the front month future moved down on the week. The highly watched and traded VXX lost just 1% on the week. VXZ which is comprised by the fourth through seventh month futures (currently August, September, October, and November) actually gained slightly on the week as the farther dated futures had traded up on the week.