The NASDAQ-100 closed at a 2014 high rising 1.64% last week. VXN was already at a pretty depressed level, but continued to drift lower based on the strength of the underlying market. VXN also reacts in anticipation of earnings announcements, but with there being a lull in the earnings calendar there was nothing anticipatory to speak of with respect to VXN.
Unlike the NDX, the Russell 2000 did not put in a 2014 high this past week, but did finish the week up 1.64% – just like the NDX. In fact the Russell 2000 is basically flat for 2014 and this performance has kept RVX at a premium relative to VIX. That premium remains despite RVX dropping about 8.5% last week.
The curves are in textbook contango, but the VXN slope has a little more rise to it. I can guess that is a function of VXN being so low that the only direction the VXN futures market can see is a move to the upside. The September RVX future is at over a 2 point premium to the spot index, so despite an elevated RVX, there is quite a risk premium showing up in the future. September and October have been scary months for the markets in the past so we could see some seasonal concerns in volatility futures over the next few weeks.