This Week in VIX Options and ETPs – 8/9/2013

After spending a couple of days closing with an 11 handle VIX did what it normally does and it bounced.  Weakness in the equity market toward the end of the week aided in the bounce, but when VIX gets into the tweens (defined by Wikipedia as a person between the age 10 and 12) it seems to come back to the teens pretty quickly.  The chart below is a daily close for VIX in 2013.  The two periods VIX spent as a tween this year are highlighted with arrows.  In March VIX was under 12 for four days and recently just for two days.  This is hardly enough time for VIX to earn an allowance, head to the mall, and blow it at Claire’s.

VIX Tweens

In the VIX option space VVIX closed under 70.00 on Monday for the first time since January 2010.  A pick up in VIX resulted in VVIX recovering to the upper 70’s before the week was over.  Despite a relative quiet week there was a very large trade in VIX options mid-week.  A large trader closed out a long position in a VIX Aug 18 / 28 Call spread for 0.14 and bought the VIX Sep 17 / 25 Call spread for 0.69.  A payout diagram for this trade appears below with VIX and the Sep VIX Future prices highlighted.

VIX 17 25 PO

Finally the long ETN’s had a decent week rising 2% to 5% depending on the strategy.  VIX futures did not jump nearly as much as the index this past week.  The August futures were up 3% and September up 3.75% which spot VIX posted a gain of almost 12%.  The futures were at a relatively high level with VIX under 12 reflecting an anticipation of a rise in VIX.

Options ETPs