Another all time-high for the S&P 500 was matched by a post-2008 low for VIX on Wednesday of 10.61. Despite putting in lower lows on Thursday and Friday, VIX did manage to creep higher into the weekend. On a week over week basis all the S&P 500 related volatility indexes moved down, exactly the sort of price action we become pretty accustomed to over the past few months.
In the ETN space VXX moved below 30.00 dropping over 7% on the week as June VIX futures settled on the open Wednesday. VXX now is comprised of positions in July and August VIX futures and on Monday the weighting will be a little over 80% in July with the rest focused on August. As long as VIX remains low and the futures drift down to VIX the VXX is going to have a tough time getting back in to the 30’s.