Following the lead of the S&P 500 both the iShares Emerging Markets ETF (EEM – 40.95) iShares MSCI Brazil Capped ETN (EWZ – 44.34) were down about 2% last week. The behavior of their respective volatility indexes actual diverged a bit. Last Friday VXEWZ was elevated due to some macro issues that raised concerns about the Brazilian economy. VXEWZ lost a little as the fear dissipated a bit. The index and futures were all slightly changed on the week in what I will term a non-event.
VXEEM was a bit higher last week based on the drop in EEM and the futures moved higher as well. The move in the December future appears dramatic until you remember that this coming week is expiration Wednesday for December. All December volatility futures and options have two more trading days until expiration. Since the VXEEM December contract went out at a discount to the index last Friday it was up over 3% based on playing catch-up to the index in anticipation of expiration.