The Week in Volatility Indexes and ETPs – 10/13 – 10/17

I hate being a broken record in this space, but the week over week changes do not do any justice to what was last week in the equity and volatility markets. I threw the closing curve from Wednesday in the mix below when VXST closed at the highest level since December 2011.  On Monday VVIX was also at much higher levels closing over 130 for the first time since August 2011 when VIX got all the way up to 48.00 based on a 6.66% drop in the S&P 500.

VXST VIX VXV VXMT

The long ETPs finished the week higher, but well off the highs for the week. For example VXX was up 7.62% from Friday to Friday, but mid-day Wednesday VXX was over 23% higher than last Friday’s close. I would also like to defend VXX a little more, while it is at elevated levels, and note that from September 18 through Friday VXX is up 41.8%.

ETPs - Indexes

Apparently on Thursday around the open when VXX was over 44 someone decided that enough was enough and sold some VXX Calls. Over 16,000 VXX Nov 50 Calls were sold at 4.80 and over 14,000 Dec 70 Calls were sold at 3.00. By the end of the week the VXX Nov 50 Calls were offered at 2.40 and the VXX Dec 70 Calls were offered at 1.70. There’s still time to go, but so far the timing of those two sells seemed to be near perfect.