This Week in Volatility Indexes and ETPs – 5/16/2014

The S&P 500 was little changed on a week over week basis despite a fairly scary day on Thursday. The result for the four indexes that measure different standard implied volatility levels based on SPX option trading was a little changed week as well. VXST really took a dive on Friday dropping 17% after gaining 19% the day before. The nine day VXST is definitely living up to the reputation of being more volatile than VIX which for newbies measures 30 day implied volatility. The term structure chart showing the week over week change for VXST, VIX, VXV (93 days), and VXMT (184 days) appears below.

VXST VIX VXV VXMT Curve

In the exchange traded product space the unleveraged long oriented ETPs such as VXX dropped about four and half percent last week. VIX was down less than four percent, but the gap between the two front month futures and VIX actually narrowed putting more pressure on VXX than on VIX. At this point VXX is comprised of much more exposure to the June VIX future than May since May contracts settle on Wednesday.

VIX Indexes and ETPs