This Week in VIX Options and ETNs – 2/7/2014

Average daily volume for VIX option trading was 568,402 in 2013, so far in 2014 the average daily volume has been 912,975.  In 2013 there were 14 days where VIX option volume topped one million contracts while this year there has already been 11 days where VIX option volume has topped a million contracts.  Finally, we have a six day streak of VIX option volume topping a million contracts.  It has been a pretty busy year so far for the guys in the VIX pit.

The term structure chart below that shows the week over week change for VXST, VIX, VXV, and VXMT shows just why volumes have been so high.  Implied volatility of the equity market has been pretty volatile this year (I just can’t think of another way to say it).  VXST dropped almost 25% last week and VIX was down just under 17%.


In the ETN space the long oriented funds gave back the recent price gains as VIX and VIX futures all came in hard toward the end of the week.  Apparently there was a lot of anticipation around that VIX would come back in.  The VelocityShares Daily Inverse VIX Short Term ETN (XIV – 30.33) reportedly surpassed the iPath S&P 500 VIX Short Term Futures (VXX – 45.46) in assets under management to become the largest VIX related ETN last week.  Also, this was before the big drop in VIX on Friday.

Options ETNs