I was participating in the Vol Views podcast Friday around lunch time and decided to take a look at the whole suite of volatility indexes and see if anything was higher. None of the 29 volatility indexes CBOE quotes were higher at that time and none of them finished higher on Friday. The list below shows the price changes ranked on a percentage basis for yesterday.
The four S&P 500 related volatility indexes moved lower last week. The largest drop came from VIX which lost over 10% while the smallest move to the downside was VXST (9-day volatility) which was down about 3 ½%. VIX is also only 0.10 higher than the 2016 closing low while VXST is still well above the 2016 low of 9.77.
The VIX of VIX (VVIX) remained fairly high in the mid-80’s and SKEW is still a bit elevated. The ETPs did what they do when the stock market is higher with the long and leveraged long funds down dramatically for the week and XIV and SVXY reaping the rewards of the equity market rebound from the Brexit scare combined with a positive reaction to Friday’s employment report.
Finally, a glance at the year to date performance for the funds that represents long, leveraged long, and short volatility strategies. SVXY representing short volatility is now up 9.4% for the year with just about all that coming last week. VXX is down 39.3% and UVYX is down 74.2% after being up as much as 100% for the year.