This Week in Volatility Indexes and ETPs – 6/20/2014

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.

VXST - VIX - VXV - VXMT

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.

Indexes ETPs