The Russell 2000 continues to lag the Nasdaq-100 and S&P 500 in 2014. RUT was down slightly on the week while NDX and SPX were both higher. For the year RUT is up just over 0.5% while the other two broad based indexes with tradable volatility markets are up 13.86% and 8.62% respectively. The result has been RVX at a premium for most of 2014 relative to VXN and VIX. That premium is at the low end relative to VIX this week which may indicate a change in attitude about domestic stocks or US risk versus global risk.
NDX was up slightly last week, but VXN rose over 4%. This was the biggest move among VIX, RVX, and VXN and can be attributed to one company – Apple (AAPL – 98.97) which will introduce some new products next week which is an implied volatility heightening event for both AAPL and NDX options.
The curves remain a little steep, but in a normal contango shape. The RVX curve hardly budged last week, while we got a sort of twist in VXN trading with the Sep future holding up in anticipation of a potentially big move in NDX this Tuesday.