This Week in Russell 2000 and NASDAQ-100 Volatility – 5/2/2014

The Russell 2000 was the star of the US market in 2013, but has been a little bit of a laggard in 2014. As of Friday the Russell 2000 was down 2.99% for the year while both the NASDAQ-100 and S&P 500 are showing gains. The result is an elevated level for the CBOE Russell 2000 Volatility Index (RVX – 20.04) relative to the CBOE NASDAQ-100 Volatility Index (VXN – 17.03) or the CBOE Volatility Index (VIX – 12.91). The RVX vs. VIX spread rose to over 8 points this past week which was the first time the spread had been that wide since early 2012.

RVX PA

The NASDAQ-100 beat the performance of the Russell 2000 and S&P 500 gaining about 1.5%. As would be expected VXN dropped over 8% which was more than the 6.31% loss for RVX. Also, more anecdotal than quantifiable, it seems that post earnings season VXN has a little headwind as the earnings for large NDX components are in the rear view mirror.

VXN PA

 

The curves did what the curves should do with strength in the underlying equity markets – they steepened a bit and took on a bit of a contango like shape. More noticeable was the change in the VXN curve where the May future was at a slight premium to the index, but moved to a discount which again may be partially attributable to the end of earnings season for the first quarter of 2014.

VXN RVX