Weekend Review – Volatility Indexes and ETPs – 2/22 – 2/26

This was probably the calmest week we had in the markets in 2016, which is good for the long term investors, but makes my job sort of tough.  VIX put in a 2016 closing low but do note that VXST rose last week.  This past week didn’t really have a lot of the known unknowns such as major economic numbers so short term volatility was pretty tame.  Next week we get an employment number on Friday and I am attributing the rise in VXST to that event.

VXST - VIX - VXV - VXMT Curve

The long funds continued to give back 2016 performance as the stock market rebounded.  SVXY and the short funds are finally grinding higher. It doesn’t necessarily stand out on the table below, but VVIX made a post August 2015 low this week.  We will see if that sticks as the more interesting economic numbers and events creep up on us over the next few weeks.

VXX Table

At least one trader thinks the lows for volatility won’t stick around next week.  Friday morning, with VXX at 24.05 one trader purchased 8,000 VXX Mar 4th 22.50 Calls at 1.71 and then sold 8,000 VXX Mar 4th 26.50 Calls at 0.23 for a net cost of 1.48.  VXX above 23.98 results in a profit and profits max out at 2.52 if VXX is at 26.50 or higher next Friday on the close.

VXX PO