This Week in Volatility Indexes and ETPs – 8/15/2014

Volatility came back down to what is considered ‘normal’ levels for 2014, but there was a slight twist. Note that on Friday VXST closed at a slight premium relative to VIX. I was hosting a VIP tour in the last hour of trading on Friday and things were pretty active as the S&P 500 worked back up to about unchanged after a pretty interesting day. I was talking to one of the guys in the SPX Pit and commented, “It feels like no one wants to go home short volatility this weekend.” His response, “Nobody wants any positions over this weekend.” So far the shooting in Ukraine hasn’t increased, but the weekend is still not over.


The long oriented exchange traded products took it on the chin last week as the August VIX future dropped 17% and September was down 14%.   The long products are very heavily weighted to September as August futures come off the board this week.

Index and Options Table

Finally we can take a quick look at a bullish VXX option trade that I saw on Thursday. There was a seller of over 24,000 VXX Oct 25 Puts that took in 0.68. VXX finished the week at 28.88 so this trader expects a couple of bullish moves out of VXX over the next couple of months. I do not agree or disagree, but will note that September and October are months that have people a little more on edge based on history.