The S&P 500 made a couple more record highs last week to bring the total to 38 in 2014. That means that 17.5% of trading days in 2014 have resulted in a record high for the S&P 500. I bring all that up to put the curve below in context. The red and blue lines show the VXST – VIX – VXV – VXMT term structure curve for the past two Fridays. The lower purple line is composite curve put together using the average close on record S&P 500 days this year. Note that on average these four volatility indexes are at lower levels than recent curves created with closing prices.
In the exchange traded product space the long funds continue to give back performance gains from the middle of October plus a little more. XIV and SVXY have managed to return to positive territory for 2014 after experiencing quite a draw down last month.