This Week in Volatility Indexes and ETPs – 5/23/2014

I will review the impact of a three day weekend when I focus directly on VXST in a day or two. However, VXST did close on Friday at 9.49 which creates a new all-time low breaking the previous record set on January 10 of this year. CBOE has VXST history going back to the first day of 2011 and before 2014 VXST had never closed under 10.00. In 2014 we have a couple of instances of VXST settling the day below 10.00.

The other volatility indexes that are based on the S&P 500 also finished the week lower. VIX closed just 0.06 higher than the post 2008 low of 11.30. We seem to be entering the summer with the sort of market complacency that accompanies vacations and cooking out.


The volatility related ETPs reacted as would be expected being drug down with lower VIX and the VIX futures markets trading lower as well. Do note that June VIX is the front month and is a heavy contributor to the performance of VXX, TVIX, VIXY, VIIX, and UVXY. On Friday these funds were all comprised of 83% June and 17% July futures.