This Week in VIX Options and ETPs – 10/25/2013

If the theme in the volatility market needed to be summed up with one word it would be “calm”.  I can break out the thesaurus, yes I have a real one, other words that may be used are “tranquil”, “peaceful”, and “serene”.   As the S&P 500 closed at all-time highs again the volatility market took things in stride as traders have seen this story play out before.  A short-term ‘crisis’ followed by a resumption of the uptrend in stocks.  The price action in the iShares S&P VIX Short Term Futures ETN (VXX – 12.84) is a great example.  The high to low range for VXX was less than a dollar and the widely followed and traded ETN closed the week down 0.02.

In VIX options volume was light with the second lowest volume day of 2013 occurring on Friday when less than 200,000 contracts traded.  Also, the VIX of VIX (VVIX) finished the week at the low end of the historical range closing at 70.03.  Putting a positive light on this final number, if you want to pick up some inexpensive VIX calls they are a cheap as they have been in some time.   Finally, my favorite new index the Short-term VIX (VXST) finished the week at 11.59 which is the lowest level since early August.  In VIX terms 11.59 may appear to be low – but VXST has been as low at 10.20 this year.  It could be more calm is on the horizon.

I do want to mention and guide you to a great blog put up by Bill Luby from VIX and More regarding the ratio of VXST to VIX and its use as an indicator.  I encourage you to click on the link below and check out his thoughts –


Options ETNs