The Week in Volatility Indexes and ETPs – 8/10 – 8/14

Three out of four volatility indexes calculated using S&P 500 Index options to determine a consistent measure of implied volatility were lower last week. For all of 2015 the father dated volatility indexes have been elevated relative to VXST and VIX. We are now approaching a time where the potential for a rate hike is closing in. That may be the reason VXV held up last week while the other three indexes dropped.


The stock market had a rocky ride, but finished the week higher. Everyone’s favorite volatility oriented fund (VXX) was down just under 1% despite VIX dropping over 4%. VXX was 90.5% weighted in September VIX futures at the end of the week and Sep VIX futures lost a whopping 0.66% last week while August was unchanged. Hence the disconnect between VXX and VIX.

VXX Table