This Week in Russell 2000 and NASDAQ-100 Volatility – 1/24/2014

The CBOE Russell 2000 Volatility Index (RVX – 20.71) and the CBOE NASDAQ-100 Volatility Index (VXN – 18.84) were up 32.68% and 31.16% respectively last week.  These price changes are pretty impressive until we take a look at the old school CBOE Volatility Index (VIX – 18.14) which rose 45.82%.  I spend way too much time focusing on the volatility markets, just ask anyone that lives in my house, but something that I have noted about RVX, VXN, and VIX is that when there are macro concerns about the markets VIX tends to rise more than the other two volatility indexes.  My theory has been that VIX can be more of a macro fear index than the other two indexes.   Since the drop in the equity markets seems to be regarding global concerns and VIX outperformed to the upside there just may be something to this theory.

The front month February VIX future closed at 16.20 up 13.68% last week and at a significant discount to the spot VIX index.  Both the front month February VXN future and February RVX future contracts were higher but by 9.29% and 8.52%.  The result is a narrower spread between VXN, RVX and VIX futures contracts.  This sort of price action has also accompanied the few macro VIX spikes that have occurred since trading was rolled out on these two contracts.

RVX VXN