This Week in VIX Options and ETNs – 12/6/2013

I love weeks like this when just looking at the Friday to Friday changes does not tell the full story.  So the S&P 500 was basically unchanged and VIX was up a whopping 0.09.  Pretty dull week, huh?  Not necessarily.  VIX did manage to close over 15.00 for the first time in about six weeks before round tripping back down to having a 13 handle.  Also, VXX traded almost 7% higher than last Friday’s close before closing down on the week.  The strong employment report today made all the headway to the upside that VIX products made just disappear.

Probably the best indication of what the ride was like this past week shows up in the chart below.  Normally I will just put the Friday to Friday change for the VXST – VIX – VXV – VXMT term structure in this graph.  But to do the week justice I added Thursday’s closing prices to the mix.

VXST - VIX - VXV - VXMT Curve

The purple line does a little more justice to illustrating what a truly volatile week it was for the S&P 500 and VIX markets.  Today I just happened to be on the floor at 3:15 when the bell rang and guys from the SPX and VIX pits started heading for the exits.  It may have been a little bit of holiday season cheer and a little bit of relief to get a rollercoaster of a week behind them, or a combination of both, but the guys were pretty jovial as they made their way to escalators.  I’m also sure those smiles faded when they got outside and felt the below 10 degree wind chill.

Options and ETNs