I will start out with a friendly reminder – VIX options and futures settle Wednesday on the open so there are only two more trading days for the July contracts. This year has been a relatively calm one for VIX (so far). Despite the relative calm it appeared to me that VIX and VXN futures always seemed to be at a pretty high premium on the Friday close before expiration in 2013. This required some digging and since my intern Allie refuses to do work on weekends (kids today) I was forced to do some grunt work on my own.
From the CBOE Futures Exchange (cfe.cboe.com) and CBOE’s main site I pulled pricing for each of the six VIX futures that have settled this year and VIX index pricing as well. I looked at the Friday settlement prices and then the Monday opening prices. With one exception something popped out at me regarding VIX over the weekend before expiration. The index actually went up five of six months in 2013. The table below summarizes this.
Tomorrow morning will bring an addition to this table and we shall see if the pattern that was in place for the first five months continues on the open. Also, I do want to check out every Friday close to Monday open situation versus expiration week action, but that involves a lot of leg work and slicing and dicing of data. I think we all know what Allie will be working on tomorrow.
As far as trading last week – both VIX and VXN were lower on their underlying markets making new highs. Something that stands out for me on the tables and curves below is that July through October futures dropped a little more than their respective indexes last week. Near term and longer term risk came out of the market last week.