This Week in VIX Options and ETNs – 8/23/2013

Friday morning the S&P 500 appeared destined toward finishing the week basically unchanged and VIX also was just pennies away from last Friday’s close.  The persistent grind higher on Friday helped the S&P 500 avoid developing a weekly losing streak.  The higher close on Friday also managed to push the VIX a tad below 14.00 to settle at 13.98.

Despite closing lower on the week VIX did rally up to the mid 16’s mid-week.  VVIX also managed to spike a little higher to the low 90’s.  On Wednesday some upside call buyers showed up with over 200,000 of the VIX Sep 20 Calls being purchased.  It was this sort of VIX option buying that pushed VVIX higher.  On Wednesday with more buying that selling the VIX Sep 16 Straddle was being sold in the 3.10 to 3.15 range.  Thursday VVIX returned to the 80’s and the same straddle was being sold at 2.90.

The unleveraged long VIX ETNs were down on the week, but the drop for the majority of these ETNs was less than the drop in VIX.  The mid-week spike in VIX helped the performance of these funds a bit.  Also, for the second week running, SPLV underperformed the S&P 500.  It appears there is a continued drag in lower volatility names.

VIX Options ETNs