VIX dropped almost 10%, but this sort of dip in equity market volatility did not carry over to NDX or RUT option pricing. The CBOE NASDAQ-100 Volatility Index (VXN – 14.51) was up 0.03 and CBOE Russell 2000 Volatility Index (RVX – 16.17) was down 0.04 for the week. The disparity between VIX and VXN or RVX is even more interesting when taking a look at the underlying markets. The S&P 500, NASDAQ-100, and Russell 2000 were all up between 1.2% and 1.3% last week in what was probably the most in sync those indexes have been in a long time.
RVX option activity continues to gain traction with open interest now over 3,000 contracts. The contracts that have the largest open interest include RVX Jan 17 Puts, RVX Jan18 Puts, RVX Jan 21 Calls, RVX Jan 21 Puts, RVX Jan 25 Calls and RVX 28 Calls.