I continue to be a little surprised while reviewing price action for the tradable volatility indexes listed at CBOE. Starting off the chart below shows the CBOE Emerging Markets ETF Volatility Index (VXEEM – 21.60) price action from Friday the 18th to Friday the 25th. Do note that each day last week VXEEM closed lower than the opening price. This action occurred despite the iShares MSCI Emerging Markets ETF (EEM – 40.82) also closing lower four of five days last week. The only day that EEM was higher was Thursday and that was a gain of only 0.04. EEM was down almost 3% last week and VXEEM dropped on the week as well.
The Brazilian market took a break from defying bearish skeptics and based on the performance of the iShares MSCI Brazil Capped ETF (EWZ – 46.71) was down 1.66%. Despite pressure on the underlying market VXEWZ closed lower on the week as well losing about 5%.
Taking a look at the curves, it appears below that the VXEWZ futures were anticipating a drop in the index. Note on the chart below that despite the 5% drop in the index, the futures hardly budged last week.