This Week in Nasdaq-100 and Russell 2000 Volatility – 4/4/2014

Two of my areas of interest with respect to trading are relative markets move and of course volatility indexes.  Friday was one of those days that I live for as the Nasdaq-100 dropped over twice as much as the S&P 500 and the spread between the underlying volatility indexes widened out to levels not seen in years.  The chart below shows the spread between VXN and VIX between January 2013 and the close this past Friday.  The actual line is calculated by subtracting VIX from VXN since VXN is at a premium relative to VIX on a pretty regular basis.

VXN - VIX - End of Day

The VXN curve went into a form of backwardation as well with the 10% gain for VXN on Friday resulting in the front three month futures contracts trading at a discount to the spot VXN.  This can be determined as the market pricing in more risk in the tech and bio-tech space than for other sectors, come Monday we will see if the slide for technology versus other sectors is going to continue.