VXST closed Friday at an all-time low. I know VXST has only been quoted since late 2013, but CBOE does have historical data on the CBOE Short-Term Volatility Index going back to the first day of 2011. Only twice has VXST finished the day below 10.00 and Friday’s closing price of 9.49 was well below the previous record low of 9.97 back on January 10th. The S&P 500 rising 1.21% last week along with a close over 1900 both contribute to the low level of VXST. Also, the three day weekend is a contributor to a depressed VXST. Instead of rehashing that whole story I’ll guide readers to the VXST blog from our last three day weekend in April –
The curve is steep and this is also a function of the long weekend as the VXST futures contracts anticipate a rebound in the underlying index which follows a three day weekend. Do keep in mind the May 28th VXST futures and options trade Tuesday and then settle on the open Wednesday morning. Despite VXST (or due to?) trading below 10.00 there was trading activity in several of the VXST May 28th Calls including the 13, 15, 16, 17, 18, 19, and 20 strikes.