The Week in VXST – 11/3 – 11/7

The S&P 500 closed on Friday at an all-time high.  For those keeping score this is the 38th record for the S&P 500 in 2014.  I replaced the daily price chart that normally appears below with a chart showing the closing level for VXST on each of those record days in 2014.  The average for VXST when the S&P 500 makes a new high in 2014 has been 11.  The last four record highs have come over the past couple of weeks and although trending down to the average level, VXST is still a bit higher than when the market set those previous records.   In behavior terms this means the market is pricing in more risk than it has when previous records were set.

VXST All Time Highs

VXST did drop 19.35% last week as more records were set.  What I find interesting below is the far right side of the curve where despite quite a drop in VXST the futures that expire four weeks out were only down 0.30.  This sort of reinforce the view I gathered from VXST pricing in a little more risk relative to previous all-time S&P 500 highs.  It appears option traders continue to be braced for one more draw down before the end of 2014.

VXST Curve

As always – if you want to learn more about VXST visit the following link –

www.cboe.com/vxstms