In hindsight volatility definitely overshot to the upside in response to Brexit and the price action on Monday where VIX and the S&P 500 both moved lower together was a sign of things to come last week. The 42.66% drop in VIX was the biggest week over week drop on record (going back to 1990). The whole VXST – VIX – VXV – VXMT underwent a shift from one extreme to the other last week.
SKEW put in an all-time high and then backed off to more normal levels. TYVIX also had a pretty big drop as the mind of the global financial markets shifted from end of the world back to normal mode. The one volatility index on the table below that remains at a cautious level is VVIX. Do not discount the elevated VVIX level as an outlier as the VIX of VIX has done a good job of being a leading indicator for market volatility for several months now.
Finally, in the ETP space, last week VXX gave up 20%, UVXY almost doubled that, and SVXY rose over 17%. It just took a week, but SVXY is back to green for 2016, however so slightly.