The Nasdaq-100 lost only about a half a percent last week. I say only because the S&P 500 was down closer to one percent and the Russell 2000 lost almost four percent. I also emphasize ‘only’ because VXN was actually up more (on a percentage basis) than VIX or RVX. I think this is there is a small seasonality that creeps into VXN for earnings season that we don’t see in VIX or RVX. I’m going with that for the explanation of VXN moving up 20% last week.
As mentioned the Russell 2000 had a less than stellar week and RUT is now actually down slightly for 2014. The result for RVX was a move up to 18.80 and a premium of 6.72 relative to VIX. 6.72 is close to the high end of this spread over the past couple of years and this is reflective of the difficult time small cap stocks have had in 2014 versus large cap stocks.
The curves both shifted higher and the July contracts tracked the index while also giving up some of the spread as we have two days left until July settlement on Wednesday morning. The July VXN future closed at a premium of 0.54 to the index and July RVX was at a 0.60 premium. That’s kind of narrow relative to history and may reflect a doubt that the rise in volatility that occurred last week is going to continue into the early part of next week.