I considered skipping the first chart in this blog since the four S&P 500 related volatility indexes didn’t move much last week. The only thing to note here is that the shorter dated end did rise a bit more than the long end, but the curve remains fairly steep.
Despite the fairly quiet week, VVIX rose to the mid-90’s. I’m hearing a mix of reasons which fall into two camps. One – with steep contango put buyers are coming into the market to take advantage of the futures drifting toward spot. Two – the low VIX has created some demand for calls going into the treacherous post-Labor Day period the is sneaking up on us.
SVXY continues to be a champ and is now up a tad over 43% on the year after gaining about 3% last week. VXX and UVXY continue to suffer and were lower last week as both the August and September futures dropped despite the slight rise in VIX.
We did see some spotty gains in volatility last week. Last week I noted that currency volatility was at the low end of the recent range. JYVIX and BPVIX both rose a bit, but are still at relatively low levels when compared to recent history.