The NASDAQ-100 rose over 1% last week and VXN dropped by about 2%. The VXN reaction may have been a bit more dramatic if we weren’t already at pretty depressed volatility levels. Also, other broad based market indexes were not as resilient last week which may have kept VXN from dropping further.
The Russell 2000 is still lagging in 2014 and the 0.09% gain last week did not help the RUT play catch up to the S&P 500 or NDX. Based on Russell 2000’s lagging performance RVX has remained a relatively high level when compared with VIX and the 4% gain in RVX last week placed RVX at more than a 5 point premium to VIX which is well above the 2013 average spread.
The different performance of VXN and RVX last week carried over to their respective term structure curves as well. VXN has a fairly parallel shift downward while the rise in the spot RVX index was not reflected in gains for any of the three futures which all lost value last week.