This Week in Short-Term Volatility – 3/21/2014

Going into Monday VXST was coming off a week where it rose 62%.  Since fear came out of the market this past week and the S&P 500 rallied up over 1% VXST gave a good portion of the previous week’s gains back and dropped almost 30%.  The near dated (front week?) futures contract that expires next Wednesday was down 14% on the week as well.  I do want to point something out that I found interesting from Friday’s closing VXST prices.  Note on the term structure chart below that the blue line is longer than the red line and I circled the last data point in green.  The blue line is Friday’s close and that April 16th contract is brand new having listed on Thursday.  I felt compelled to include it in the diagram since it went out at a premium to the other contracts.  I’m digging around and not sure if there is an anticipated event that may be market moving or not before that date and after the April 8th expiration.  If someone has ideas please feel free to share at rhoads@cboe.com or tweet your thoughts and tag me at @russellrhoads.

VXST