This Week in VIX Options and ETPs – 4/11/2014

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%.

VXST VIX VXV VXMT Curve

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%.

Options ETNs