It was a textbook week for VIX and VXN as far as reactions to action in the stock market. The S&P 500 was down just over 1% on the week and VIX climbed over 13%. I always tell VIX newbies to focus on the futures action as well as the index. The front month June futures were up 11% and July (which will be the front month come Wednesday) were both higher and remain at a premium to the spot index. This sort of price action in the futures shows continued risk premium associated with being short VIX.
The NASDAQ-100 was down 1.5% last week. Despite the underperformance of the NDX relative to SPX VXN was up just under 9% and is at only a 0.13 premium to VIX. This slight premium is reflected in the futures markets as well as the June VXN contract settled at a 0.35 premium to the June VIX future. The average of this sort of range has been closer to 1.00.