This Week in VIX Options and ETNs – 3/14/2014

There seems to be global nervousness which resulted in almost a 2% drop in the S&P 500 this past week.  As would be expected the suite of volatility indexes that are based on S&P 500 option trading all moved higher with VXST leading the charge and rising 62% and VIX climbing by over 26%.  The chart below shows that not only was near dated volatility higher, but VXV (93 Day) and VXMT (184 Day) were up as well.   Finally, do note that the VIX of VIX (VVIX) was up almost 17% last week closing near the 100 level which was the high end of the range in 2013.

VXST - VIX - VXV - VXMT Curve

In the exchange traded product space the long oriented funds were up about 8%.  VXX and the other non-leveraged long funds are almost 90% weighted in the April VIX futures contract which was up about 8% as well last week.  The March futures only have one more day to trade until expiration so the impact of changes from the March future does not influence VXX as much as April.

As noted VVIX approached 100 based on demand for VIX calls.  There were actually some buyers of slightly out of the money March VIX calls on Friday.  This is interesting as the last trading day for March VIX options (and futures) is Monday based on a holiday in April.  Some people are a little nervous about some market jolting news hitting the markets over the weekend and are looking to VIX calls either as portfolio protection or as a short term long volatility trade.

Options - ETNs