This Week in VIX Indexes and ETPs – 5/9/2014

When I started putting together the term structure chart showing a comparison of the week over week changes for VXST, VIX, VXV, and VXMT I got a little scared. Basically with VXST and VIX both barely changed for the week I was afraid the two lines on the chart below would appear as one. The changes in VXV and VXMT both relieved my fears by dropping enough to show a graphically significant change in the term structure.VXST - VIX - VXV - VXMT Curve

Since the introduction of VXST VVIX hasn’t gotten the attention it once did as the most volatile of volatility indicators quoted at CBOE. I did note some tweeting regarding the low level of VVIX and that it was bordering on an all-time low. CBOE has data for VVIX going back to 2007 and the lowest closing level is 59.74 from April 23, 2008. Friday VVIX went out at 61.76, so we are close, but not quite there.

VVIX - All time Low

A week ago VIX futures were at a pretty significant premium relative to the spot VIX index. With VIX basically unchanged both the May and June futures dropped about 6% and 4% respectively last week. Hence the pressure on the long volatility related ETPs below. Also keep in mind that June VIX futures now have more influence on these exchange traded funds and notes.

Indexes ETPs