Weekend Review – Volatility Indexes and ETPs – 5/2 – 5/6

The S&P 500 was down 0.44% last week which places the index up only 0.65% for the year. Three out of the four S&P 500 focused volatility indexes were also lower last week, despite the drop in the S&P 500. I find the longer end of the curve holding up like it has for most of 2016 interesting as well as worrisome, at least if you are bullish on stocks.


In the ETP space VXX was down by 5.11% and UVXY lost a little over twice as much at VXX. SVXY put up a decent week gaining 4.75%. Bond volatility in the form of TYVIX was down by about 5%. VVIX remains relatively high at 88.86 which shows that despite the drop in VIX, there is still demand for VIX calls.

VXX Table

The next chart is an apples to apples comparison of VXX, UVXY, and SVXY in 2016. After last week SVXY remains the only one of the three to remain in positive territory. UVXY was up as much as 100% this year before give it all back and then some.


UVXY closed at 15.27 on Friday, which for one trader, was an exceptional way to finish the week. About lunch time of Friday with UVXY at 16.43 a trader came in and sold 200 of the UVXY May 13th 16 Calls at 1.41 and then purchased 200 of the May 13th 19 Calls for 0.56 and a net credit of 0.85. The goal, is for UVXY to finish next week below 16, which is why I say they probably were pretty happy with what UVXY did between trade execution time and the close of business.