A lot went on today as the Greece thing seemed to come to a head. Below are some highlights with respect to the CBOE Volatility Index, the S&P 500, and the Russell 2000 with respect to the reaction of global markets to the news out of Greece.
Spot VIX rose just over 34% and the front month July futures contract was up almost 20%. Volume in VIX futures appears to have topped 400,000 for the first time this year. July and August settled within a tick of each other which is a positive for the long ETPs since they won’t experience any grind lower due to the common contango situation.
The VXST – VIX – VXV – VXMT curve went from slightly inverted to very inverted today. VXST rose 45% to 22.56 which is the highest closing price for that index since mid-January when it topped 23.00. VIX at 18.85 is the highest level since early February.
The table below sums up the day with the S&P 500 down over 2%, which places this index slightly in the red for 2015. Something else worth highlighting is the VIX of VIX which rose to 117.00, a clear indication that demand for VIX options rose in line with the rise in the index today. In the ETP space VXX came into the day about 65% weighted in July VIX futures and 35% in August contracts which resulted in a 17% gain in the fund. As expected on a single day basis TVIX and UVXY were both up twice that much for a whopping rise of about 34%.
As mentioned before, VIX rose 4.83 points to 18.85. The CBOE Russell 2000 Volatility Index gained 4.32 to finish the day at 20.50. Those who visit this space often know that I focus on the RVX / VIX premium as an indication of risk perceptions of small cap versus large cap risk. RVX finished the day at a premium of 8.75% to VIX, down dramatically from Friday when the premium was over 15%. This is the first single digit premium reading for this relationship since January 15th.