The VXST – VIX – VXV – VXMT term structure chart below shows the dramatic drop in the risk perception of global markets. VXST (9-Day) was down 28%, VIX (30-Day) lost almost 16%, VXV (3-Month) was just under 10% lower and finally VXMT (6-Month) lost just over 7%. The event that had elevated fear and resulted in VXST moving to the low 20’s passed without any violence and Crimea voting to rejoin Russia. It may just be that the markets realized this geopolitical event may not end up having any fundamental impact on the US economy.
Since VXST was introduced I feel I have neglected the VIX or VIX or VVIX. VVIX results when the VIX methodology is applied to VIX index options. For a perspective the range for VVIX in 2013 was between about 70 and 100. VVIX went out at 97.11 a week ago and dropped down to 78.64 during the week. Despite a nice week for the stock market VVIX is closer to the middle of its recent range than the low end. This can be taken as demand for VIX options (think tail risk protection) is still exhibiting some nervousness about the equity market in the next few weeks.