The S&P 500 was up just under 1% for the week and the Nasdaq-100 gained just over 1%. Both volatility indexes dropped as would be expected. VIX was down over 10% and VXN dropped just over 15%. This activity put VXN at a 0.39 discount to VIX which is historically low level. VXN usually maintains a 1.00 to 1.50 premium to VIX depending on the type of volatility environment the markets are experiencing. Do note that the tradable volatility markets adjust for this historical norm as July VXN closed at a 0.30 premium to the July VIX future despite the index relationship being at a discount.
Another thing that caught my eye this week relates to the VIX curve. Note the changes turn from red to green as we go out on the curve. Despite near dated futures dropping, the farther dated futures appear to price in more risk during the fourth quarter.