The Week in Volatility Indexes and ETPs – 11/3 – 11/7

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.

VXST - VIX - VXV - VXMT Curve

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.

ETPS Indexes