This Week in VXST – 6/20/2014

VIX closed at the lowest levels since February 2007 this past week which can also be referred to as a post financial crisis low. VXST held up a little better than VIX and didn’t follow the longer dated volatility index to new lows. CBOE has data going back to the beginning of 2011 and the record closing low was a couple of weeks ago on June 6th at 9.25. VXST is new and comparisons to VIX are still being interpreted. I always felt a significant low in VIX (like Wednesday’s 10.61 close) would be confirmed or at least accompanied by a significant low in VXST. So much for that theory…


The VXST curve pricing shares a combination of upcoming events and reaction to the current market environment. Note on the graph below the highest closing futures contract is the one that expires on July 9th – that’s the first one after the next employment number and this is sort of an expected pattern that is developing with respect to VXST futures pricing.