The Week in VXST – 10/13 – 10/17

The CBOE Short-Term Volatility Index was introduced less than a year ago and since then there have not really been any headline grabbing moves in the volatility space. That was until last week where the high range for VXST stretched from close to 20 up to almost 40. The closing VXST level on Wednesday was the first close over 30 since early December 2011.

VXST PA

There is nothing like a volatile week to shake things up. I have debated changing the method I use to display the week over week VXST curve change for some time. The table showing the week over week changes is the same, however the term structure chart has a slight change. I change the futures to uniformly show the curve change by not altering the underlying contracts. So Week 1 below is the October 15th contract for the October 10th curve and Week 1 represents the October 22nd contract on the October 17th curve. I think it is a better and more consistent picture of what is going on with these short dated futures contracts relative to the spot VXST index.

VXST CURVE

Finally, VXST option trading has been scattered across many strike prices. The heaviest open interest as of Friday rested at the VXST Oct 22nd 28 Calls followed by the VXST Oct 22nd 21 Calls and VXST Oct 22nd 19 Puts.