Weekend Review – Volatility Indexes and ETPs – 3/14 – 3/18

I’m honestly surprised and admitting that I have been very wrong in trying to guess at the VIX action lately.  I never would have expected a 13 handle for VIX, but low and behold that’s what we got on Friday.  When I return to work on Monday I will spend a little time on the wall of shame.

Even the longer dated volatility indexes have given up the fight with VXV and VXMT closing near the respective 2015 averages after remaining at elevated levels for most of 2016.


VXX and the unleveraged long VIX related ETPs were down about 7.5% last week which places them in the red for 2016.  The only ETP on the table below that is up for 2016 is VXZ which focuses on the longer dated part of the VIX curve.  That fund was down 2.91% last week, but remains higher by 1.71% for the year.  One more week like last week and all the funds will be lower for 2016.  Do note that SVXY had a nice week rising 7.65%, but that fund is still down 7.93% for 2016.

VXX Table

At least one trader thinks VXX may run back to the mid-20’s over the next couple of months.  I don’t watch the market every day, but I do think this is the biggest VXX block trade I’ve ever witnessed.  On Friday, with VXX at 19.15 there was a buyer of 50,000 VXX May 20th 24 Calls at 0.96 who also sold 50,000 VXX May 20th 25 Calls for 0.83 and a net cost of 0.13.  A run to 25.00 for VXX could result in a profit of 0.87 if held through expiration.