This Week in VIX Options and ETPs – 3/7/2014

On a week over week basis the four volatility indexes that are based on S&P 500 option pricing did not move too much.  All the excitement was on Monday so I added a line showing Monday’s closing prices for VXST, VIX, VXV, and VXMT to the mix.  Note the quick jump based on the surprise provided by Russian troops moving into Ukraine.  The markets were pretty surprised, but probably not as much as some people that live in the Crimea region.

VXST - VIX - VXV - VXMT Curve

By Friday afternoon calm seemed to have returned to the VIX market.  I was actually in the VIX pit during the middle of the afternoon on Friday and the traders had time to discuss the markets with a college group I was hosting.  I take that as an anecdotal sign that calm as returned to the equity volatility space.  Trading wise someone may not be agreeing with continued call.  About an hour before the close there was a buyer of the VIX Mar 17 / 20 Call spread that paid between 0.31 and 0.32 for over 60,000 of these bullish call spreads.  If held to expiration the payoff will look like this –

VIX 17 20 Call Spread

In the exchange traded product space trading activity followed the pattern of the week which was tumultuous at the beginning of the week and ending with a whimper.  Performance was mixed and compounding came into play a little due to the quick move up on Monday and then reversion to lower volatility over the course of the rest of the week.

Options - ETNs Table