This is a second week where highlighting the VXST – VIX – VXV curve from day to day tells the story of the week. VIX was up on fear and off on calm trading at levels not seen in about two months on the downside after the government pushed the can down the road. The daily closing prices for the VXST – VIX – VXV curve show up in the chart below –
Last Friday to this Friday does not show too much, but note mid-week that VXST took off to the upside and left VIX and VXV in the dust. Before the week was over, VXST closed on the October lows while longer dated volatility held up pretty well. VVIX which had also taken off to top 120 intraday is now down testing the 70 level. It appears fear is a thing of the past for 2013. Finally, in the ETN space the long strategy related ones took the drop in VIX futures and a return to contango on the chin losing about 11%.