Volatility Indexes and ETPs – Week of 4/13 – 4/17

Despite an ugly Friday both VXST and VIX remains pretty low relative to recent levels. I again included the 2014 average closing levels to the chart below. This inclusion isn’t so much about noting VIX is lower, but that VXV (3 month volatility) moved above the 2014 average and VXMT (6 month volatility) remains higher than what was the average for last year.

Term Structure for Blog

Do note that VXV got some love this past week in a discussion by Adam Warner which then led to a story on CNBC.   The links below can take you to either story –

“Does the VIX Signal Indicate Trouble Ahead?” — Adam Warner, Schaeffer’s Investment Research
http://bit.ly/1G0YXEn
“This Obscure Indicator is a ‘Significant Concern’” — CNBC
http://cnb.cx/1b4oLop

In the ETN space the long funds put up a small gain while the short funds lost a little more than the gains seen for VXX.  The small rise in VXX is attributed mostly to the May VIX future which was over 90% of the composition of VXX for most of last week.  Despite the 10% gain in VIX, the May contract was up about 1%.

Index ETN Table