This Week in Nasdaq-100 and Russell 2000 Volatility – 12/20/2013

Option trading on the CBOE Russell 2000 Volatility Index (RVX – 16.21) was introduced just a couple of weeks ago and open interest is working higher.   Looking at the January series open interest is just over 2200 contracts with open positions in strikes ranging from the RVX Jan 17 Puts to the RVX 32.50 Calls.  There are positions in February RVX options as well and open interest is just under 1000 contracts.  It appears that RVX option trading is off to a solid start.

Last week both the Russell 2000 (RUT – 1146.47) and Nasdaq-100 (NDX – 3531.19) were higher based on a favorable view from the equity markets related to the result of the Fed meeting.  RUT has been the star performer of broad based indexes in 2013 and kept up the pace with a 3.5% gain last week.    The risk premium came in pretty dramatically for both markets with the CBOE Nasdaq-100 Volatility Index (VXN – 14.48) and RVX closing down 9.39% and 17.00% on the week.