What a difference a week makes especially in the volatility world. Based on an equity market drop, which came mostly at the end of the week, of 2.65% last week VXST was up over 33% and VIX climbed a hair under 22%. The shift in the curve is pretty dramatic, going from what we are used to in the form of contango to a bit of backwardation. The curve doesn’t really depict much in the form of panic so there is plenty of potential upside for the shorter dated indexes if the S&P 500 keeps up these days where the index drops over 1%.
The long volatility exchange traded products are heavily weighted toward the May VIX futures contract. On the open Friday VXX was composed of just over 90% May futures and only 10% April. VIX was up 22% last week, but the May VIX contract rose 5.71% which resulted in VXX putting up a gain of about 7%.