VXST gained over 24% last week coming off a low price (the lowest ever actually) from last Friday. As seen below a big portion of this gain came from Thursday last week when the S&P 500 was down 0.7% and also put up the third losing day in a row. I guess the three day losing streak is the sort of thing that starts to get the attention of traders.
The VXST futures curve has a little bit of an unusual shape and I’m planning on checking that July 2 futures price when I get back in the office Monday morning. I could understand there being a wide premium between the July 9 and July 2 contract prices as July 2 settlement will be based on options that have some slow days and days off in the mix along with the employment number being scheduled for July 3, but the price difference appear to be a bit extreme.
Trading interest in the VXST option space continues to grow with open interest at about 3,000 contracts as of Friday. The highest interest for options expiring this Wednesday include the VXST Jun 18th 10.50 Puts (300), VXST Jun 18th 11.50 Calls (120), VXST Jun 18th 12.50 Calls (300), VXST Jun 18th 13.00 Calls (195), VXST Jun 18th 18.00 Calls (558), and VXST Jun 18th 20.00 Calls (500).