The Week in VIX – 4/27 – 5/1

VIX was up slightly this past week as the S&P 500 dropped a little. VIX futures were down across the board as the lack of movement from VIX. This small disconnect can be attributed to the market getting past a couple of known unknowns (FOMC & GDP). We did have one day of excitement as the S&P 500 was down significantly on Thursday which pushed VIX into the 15’s and kept the May VIX future trading with a 16 handle the whole day. That excitement was short lived as the S&P 500 rebounded (because that is what it does) on Friday.

VIX Curve

We do have one more of those big economic numbers left before May expiration. Non-farm Payrolls and other employment oriented numbers will be released before the market opens on Friday. Do remember that VIX options and futures will both be available for trading at 7:30 Chicago time. Since the last employment number came out on a market holiday this will be the first chance to see how VIX option prices react to extra volatility that usually occurs in the pre-market hours in reaction to the employment number.

Finally, something new in the VIX world was announced yesterday by CBOE. Pending regulatory approval the CFE will begin listing VIX futures with weekly expirations in July and shortly thereafter CBOE will begin listing VIX options with weekly expirations. To find out more visit