This Week in Volatility Indexes and ETPs – 7/25/2014

I’m still getting back up to speed after a brief break from the markets last week. One of the first things I want to do Monday morning is get a handle on VXST versus the other S&P 500 oriented volatility indexes. The curve shift below has me stretching for a reason VXST would drop while the other indexes rose. Especially in front of a jam packed news week like we have coming up.

VXST VIX VXV VXMT Curve

VIX and VIX futures rose last week and the residual effect was a bounce for VXX and the other long VIX oriented ETPs. As a quick heads up VXX is close to 1/3rd September and 2/3rds August VIX futures going into the week. We are already approaching the period of time where September VIX futures will be the dominate weighting in the strategy.

Options ETNs

Although physically far away, I was still keeping an eye on block volatility trades last week. A VXX option trade from Thursday has me intrigued. Someone bought 20,000 VXX Aug 25 Puts for 0.17 and sold 20,000 VXX Aug 28 Puts for 1.45 for a net credit of 1.28. I get that, over 28.00 and the 1.28 credit is a profit. However, as part of the same spread trade they bought 10,000 of the VXX Sep 26 Puts for a cost of 1.34. So the hope is a bounce in VXX that keeps the ETP over 28.00 at August expiration and then a tame equity market that will see VXX well below 26.00 on the third Friday in September.

  • SCOPELABS

    RE VXX OPTIONS the guys could have UVXy or VIX plays and these trades are boxing them in or hedging etc i never get any value out of these random announcements of big trades that occur in VIX or other related options frankly a waste of time to track IMO