Weekend Review – Volatility Indexes and ETPs – 4/11 – 4/15

The S&P 500 was up by 1.62% last week and the VXST – VIX – VXV – VXMT curve reacted accordingly shifting lower in a fairly parallel fashion. The steepness has me concerned about the second half of this year, but for now things look just peachy.


Note on the table below that despite (or maybe because of) the drop in VIX, VVIX rose a tad. It could be traders used to the weakness in VIX and related futures to get long volatility through VIX calls. It is a bit surprising to see VVIX over 90.00 while VIX is below 14.00. In the ETP space XIV and SVXY ruled the week both gaining over 8.5% and moving from down to up on the year.

VXX Table

I’ve added a new chart to this weekly review. Below is a depiction of how $100 investment in VXX, UVXY, and SVXY would have done year to date.   VXX is down about 15%, UVXY has lost 36% (after being up almost 100%) and SVXY is now up just under 2% for 2016.


Finally, a scary trade from last week. Each day last week there was a buyer of UVXY Weeklys that expire this coming Friday. The range for UVXY last week was a low of 17.41 to a high of 22.53. I note that because the trade I came across was a buyer of the UVXY Apr 22nd 60 Calls at prices from 0.03 to 0.05. For this trade to be profitable UVXY needs to rally roughly 250%, which means the stock market grabs headlines for a drop next week. I try to stay impartial, but in this case I’m going to root against our far out of the money UVXY call buyer.