This Week in VIX Options and ETPs – 8/2/2013

VIX closed below 12.00 for the first time in a while and this took the front month futures and the long VIX related exchange traded notes to new lows as well.  VXX, VXZ, VIXY, and VIIX all lost between 7% and 9% on the week.  The leveraged long VIX ETNs took it on the chin as well with TVIX dropping over 18% and UVXY losing almost 16%.

In the option space things were fairly quiet, even on Friday when one would expect a little action around the employment number.  A couple of bullish trades of interest on Friday included a buyer of the VIX Aug  15 / 17 Call Spread that paid 0.19 and a combination trade where there was a seller of the VIX Sep 13 Put who then bought a VIX Sep 16 /21 Call Spread that paid a net 0.275 for the trade.

VVIX

Despite the S&P 500 making all times highs, VIX is not making new lows.  11.30 is a level to keep an eye one and VIX continues to work in that direction.  Of note, the VIX of VIX (VVIX) did make a 2013 low on Friday of 70.36.  This appears in the chart above and the price action is a function of the lack of call buying in the VIX arena as of late.  VVIX has not closed under 70.00 since late 2010, but appears to be headed in that direction.

Options ETNs