The S&P 500 was the leader of the pack last week rising 2.71% while the NASDAQ-100 gained 2.54% and the Russell 2000 was 2.38% higher. Admittedly there is not a huge difference between first and last place on this list. I continue to keep an eye on the spreads between VXN and VIX and RVX and VIX. The chart below is an update of what I showed last week in this space. Despite the drop in VXN and RVX that resulted from the rally in their respective underlying markets the relative spreads remained pretty wide compared to recent history.
With the exception of VXST which has weekly expirations, May is now the front month for all listed volatility derivatives at CBOE. Note the difference between the VXN and RVX curves below. The May VXN future closed at a slight discount to the index, while the RVX curve is displaying the ‘normal’ contango shape with the May future at a premium to the index. As I ponder that I have a variety of thoughts one being that traders thing the big drop in biotech stocks that has put a weight on the NDX this year may be coming to an end and that there is more potential downside over the near term for VXN than RVX or even VIX.