The S&P 500 was up just under one percent last week and the indexes that indicate different standard implied volatility measures using S&P 500 Index options were all lower. The relatively new CBOE Short Term Volatility Index (VXST – 11.23) led the way down by dropping over 19% and VIX was down just over 8%. The term structure diagram below shows a move that results in a pretty steep angle between VXST and VIX.
The first thing that stood out to me on the table below was the very low level for the VIX of VIX (VVIX). For those that are unaware VVIX is a consistent 30 day measure of implied volatility as determined by VIX Index options. Back in the day (before last year) VVIX rarely was quoted below 80.00. Over the course of 2013 the range was pretty much 70 to 100 which was appeared to signal a shift from what is high and low for VVIX. VVIX going out at 64.54 is an eye opener. Doing a little digging it appears that this past week’s VVIX trading was at the lowest levels since the week between Christmas and New Years in 2013.
Finally, a little heads up for the ETP traders out there. VXX was about 52% May VIX futures on the open Friday and 48% June. Come Monday the June VIX futures will take over as the dominant influence for performance of VXX.