The Russell 2000 was down on the week while both the S&P 500 and Nasdaq-100 were higher. Despite the underlying market dropping, the CBOE Russell 2000 Volatility Index (RVX – 21.43) was lower as well losing 6.42%. On Friday RVX closed at a premium of 6.14 narrowing from 7.05 on Thursday. Based on recent history RVX is at pretty significant premium to VIX. In 2013 the average closing spread (based on subtracting VIX from RVX) was 3.89 and the widest premium in 2013 was 6.12. Also, the narrowest spread was 2.12. Checking the near month futures February RVX settled on Friday at a premium of 5.90 to February VIX and March RVX closed at a premium of 5.50 to March VIX. The chart below shows the daily close for RVX, VIX and RVX – VIX from January 2013 through this past Friday.
The Nasdaq-100 was the winner in upside performance last week rising 1.14% which resulted in almost a 12% drop in VXN and a curve shift from backwardation to something that looks more like contango.