This Week in Russell 2000 and Nasdaq-100 Volatility – 6/13/2014

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.

VXN PA

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.

RVX PA

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.

VXN RVX

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Russell Rhoads, CFA

CBOE Options Institute

Russell Rhoads, CFA, is a Senior Instructor with the Options Institute at the Chicago Board Options Exchange. He joined the Institute in 2008 after a career as an investment analyst and trader with a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, TradeLink Securities and…

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  • Harvey Cohen

    morning, with this new format where do I find days remaining for the 4/15 options ? thank you, hc.