This Week in the CBOE Short-Term Volatility Index – 3/7/2014

Sometimes the graphics and tables included in the volatility reviews I post on the weekends do not tell the whole story.  This was definitely one of those weeks as on Monday we were greeted with the stock market under pressure (and volatility spiking) based on the situation in Ukraine.  To show the impact on the CBOE Short-Term Volatility Index and related futures markets I put together two charts and tables to better recap the week.  This first VXST term structure graph shows the one trading day change for VXST and four futures expirations that were trading on Monday morning.

VXST - Friday to Monday

VXST rose 23% and the contract that expired Wednesday morning (Mar 5) was up by 21%.  As we get more volatility events (and no I’m not encouraging Putin to invade anywhere else) we will get more of an idea how VXST and related futures will react to market surprises like Monday.

For the full week things look pretty dull.   After dropping 0.7% on Monday the S&P 500 was up 1.75% over the next four days to finish the week 1.00% higher.  The result was a drop in VXST which basically resulted in a parallel shift down for the the index and futures on a week over week basis.