This Week in Volatility Indexes and ETPs – 6/6/2014

I awoke this morning and like all of us that are glued to their smartphone I checked email before getting out of the bed. The first one I read had the subject title as WOW VIX. This blog is more like wow VXST, VIX, VXV, and VXMT (not very catchy as I write this, but you get the point).   All four of the volatility indexes that are based on SPX option pricing closed on all-time lows this past Friday. CBOE has historical data for VXST going back to 2011, VIX to 2004 (farther, but I like 2004 as a starting date), VXV to 2007, and VXMT from 2008.

VXST - VIX - VXV - VXMT

The option space continues to see some pretty active trading despite low volatility. In fact the email I referred to in the first paragraph was an inquiry about methods of getting long since VIX it touching lows. Thursday over 1.2 million VIX options traded.

The June VIX future is starting to catch up with the low VIX and July is following along as well.  Both June and July dropped around 10% last week which resulted in similar pressure on VXX, TVIX, and all the long oriented volatility ETNs and ETFs. After starting 2014 with a sluggish pace the short funds are starting to shine as they did in 2013. Both SVXY and were up a tad over 10%. XIV is now up 24.78% for 2014 and SVXY is 24.66% higher for the year.

Options ETNs