This Week in Russell 2000 and Nasdaq-100 Volatility – 1/10/2014

Both the Russell 2000 and Nasdaq-100 outperformed the S&P 500 in 2013.  I have been attributing this to the US economy being more resilient than the majority of other developed and developing economies last year.  Last week all three of those indexes performed in line with each other finishing the week up between 0.6% and 0.7%.   The respective volatility indexes dropped as well with RVX down 8.4% and VXN losing 11.1%.   The futures curves steepened as the January contracts did not mirror the magnitude of the lower indexes.  Due to the MLK holiday there are only six trading days remaining between now and January expiration on the 22nd.  With so little trading time remaining the January VXN future closed at a 0.91 premium to VXN and the January RVX future closed at a 1.22 point premium to RVX.  It will be interesting to see how quickly that gap is filled next week.

In the RVX option market there are several January contracts with healthy open interest.  On the Call side the 19, 21, 25, 28, 30, and 32.50 Calls all have open interest of over 200 contracts and on the put side the Jan 17, 18, and 21 strike options have open interest of over 200.

VXN RVX

  • David Christian

    Nasdaq 100 expected to go up this week?