The Week in Nasdaq-100 and Russell 2000 Volatility – 10/20 – 10/24

The Nasdaq-100 (NDX) rebounded in sync with the other broad based indexes last week rising almost 6%. VXN responded with a drop of 22.48%. Despite NDX outperforming the S&P 500 VXN did not drop more than VIX. We are still in the midst of earnings season and with several NDX component stocks yet to report VXN is a little elevated relative to VIX.

VXN Fixed


The Russell 2000 (RUT) had a good week last week, but as has been the trend in 2014 RUT continues to lag behind the S&P 500 and Nasdaq-100. This underperformance of RUT has resulted in RVX remaining at elevated levels relative to VIX. This spread widened back out with RVX remaining over 20 and dropping only about 18% last week.

RVX Fixed

Both curves went from backwardation to basically flat. Also the newly minted front month November futures are both at a slight premium relative to the spot indexes.