This Week in VXST – 4/25/2014

I am adding a graphic to my blogs this week that shows the Friday to Friday price action for each of the volatility indexes that have tradable markets.  VXST rebounded on Monday based on the three day weekend effect that I discussed last week you can check out the link below, but the short version of the story is that VXST has been higher the day after all of the 21 three day weekends that have occurred since the beginning of 2011 –

http://www.cboeoptionshub.com/2014/04/18/week-vxst-4182014/

VXST Prices

Despite a flat stock market VXST worked higher over the course of the week and the VXST curve seems to be pointing to more risk between the May 7th and May 14th expiration dates.  I find this interesting since the employment number comes out on May 2nd and more often than not that results in extra volatility in all the financial markets.  Despite the May 7th future being at a discount to the May 14th the majority of the open interest for VXST options is for the May 7th expiration – the first following the employment number.

VXST

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Russell Rhoads, CFA

CBOE Options Institute

Russell Rhoads, CFA, is a Senior Instructor with the Options Institute at the Chicago Board Options Exchange. He joined the Institute in 2008 after a career as an investment analyst and trader with a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, TradeLink Securities and…

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