The CBOE Russell 2000 Volatility Index (RVX) climbed over 30.00 during the day Thursday for the first time since June 2012. For the week RVX finished at 25.48, up 4.64% while the underlying market was up 2.75% for the week. Yes you read that right, the Russell 2000 was up 2.75% last week which was a week where it didn’t feel like such a thing was possible.
The CBOE Nasdaq-100 Volatility Index rose as well last week, but lagged RVX only gaining 2.25% despite trading over 31 last week.
Both the RVX and VXN term structure curves are in backwardation with VXN having a steeper curve than RVX. Kind of lost in the news shuffle has been the fact that next week is the heaviest week of the third quarter earnings season. Once the large components of the NDX get through reporting earnings (AAPL reports early next week) that curve will flatten and of course if the equity markets follow through with an upside move we will go right back to contango.