The Russell 2000 continues to be the underperformer of the broad based US market indexes losing 1.3% last week. I saw a tweet saying that the Russell 2000 was officially in correction mode, but didn’t get around to authenticating the information until this weekend. It appears that during the day on Thursday RUT was more than 10% lower than the closing high of 1208.65 which occurred in early March of this year. With RUT flirting with correction mode RVX finished the week slightly over 20.
The Nasdaq-100 was lower, but not off as much as the RUT for the week and is strongly outperforming RUT this year. The result continues to be lower implied volatility priced in NDX options than RUT options. VXN did get a little boost last week, but some of that may be attributed to earnings season creeping up on us.
The backwardation in VXN below is another indication that earnings season is upon us and there may be some expectation that VXN will move lower as big components of NDX report in the next couple weeks.