Despite being down on the week the Russell 2000 closed the gap with the S&P 500 and Nasdaq-100 for 2014 last week. The RUT dropped a little less than a quarter of a percent and the result of this drop combined with volatility being at a low level was a gain of about 5.5% in RVX for the week. Much has been made in 2014 about the spread between RVX and VIX – the spread on Friday was just a little under 6 which is becoming the norm this year.
The Nasdaq-100 dropped right at one-half a percent last week and despite dropping more than the Russell 2000 NDX volatility didn’t climb quite as much as RVX. VXN was 3% higher and stayed in a pretty narrow range for the week.
The curves shifted in unison with the move higher in their respective indexes. I was surprised to see the June RVX settlement price on Friday at only a 0.61 premium to the index with just a couple of days left until June futures go off the board.