The Week in Volatility Indexes and ETPs – 4/20 – 4/24

The S&P 500 managed to reach a record high for the sixth time this year, but all the applause from bulls last week was for the Nasdaq-100 which made an all-time high for the first time in 15 years. All hail tech!

All four volatility indexes that are based off S&P 500 option pricing moved lower last week and three of the four are below the 2014 average. Only VXMT, the 6 month version of VIX, remains elevated relative to the 2014 average. I guess bears may be throwing in the towel for the summer and considering regrouping in the fall.


The long ETPs are having a pretty tough year as VXX is off 33.70% this year. The short funds rose a bit more than the long funds lost and are now up a little more than the losses experienced by the unleveraged long funds. The leveraged long funds have given up about 60% in value after losing double digits for the week last week.


At least on trader if betting on VXX continuing the downtrend we are all familiar with. Mid-day on Friday a buyer came into the VIX pit (where VXX options trade as well) and purchased 10,000 VXX Jan 2017 10 Puts for 0.93. This trade was executed when VXX was trading around 20.89 which is the price where it settled for the day. Note I also highlighted the break-even level for this trade below in addition to the VXX closing price on Friday. If the trader holds this position until January 2017 expiration this trade will make money as long as VXX is below 9.93 or down about 56.5%. Anyone familiar with the price behavior of VXX knows as long as the stock market avoids a correction this trade has a chance of being successful.