Despite a relatively tame week over week change, the CBOE Short-Term Volatility Index did trade in pretty wide high – low range last week. The week over week drop of 0.29 doesn’t quite tell the story of last week. The high for the week was 17.44 which occurred on Monday morning, while the lowest VXST level for the week was the following day when VXST traded down to 13.24. This five day illustrates just how much VXST was moving around last week.
Looking at the VXST term structure, the ‘bump’ for the April 16th contract caught my eye last week. It is still there as the April 16th contract is slightly as a premium relative to the other three futures currently listed on VXST. I did some digging and am still wondering if it is just the beginning of first quarter earnings season around that time that has SPX implied volatility elevated around that date.