Despite the market nervousness on Friday, VXST was down just over 8.5% last week and the front two weekly futures contracts were down as well. Things get a bit interesting when looking to the far right side of the chart where the contracts that expire toward the end of April show up. Both are at a pretty significant premium to the spot index so market participants may want to brace for a late April swoon if they believe the volatility guys are properly anticipating a rise in volatility (and subsequently a drop in the S&P 500).
This blog is supposed to be about what happened last week in short term volatility, but the big news is coming next week with the launch of options on VXST scheduled for Thursday April 10th. I’ll definitely be providing a preview before the launch this week.