Weekend Review – Volatility Indexes and ETPs – 9/5 – 9/9

VXST more than doubled as a function of the index being depressed in front of the three-day weekend and then in reaction to Friday’s SPX sell off.  As would be expected, the rest of the VXST-VIX-VXV-VXMT curve moved higher as well, but outside of VXST relative to VIX we are still in a state of contango.

VXST VIX VXV VXMT

The 2.39% drop in the S&P 500 all came from Friday’s price action as did just about everything else on the table below.  Note that VXX rose 11% and UVXY gained over 22%, both doing what they were designed to do, allow traders the ability to benefit from quick spikes in volatility.

VXX Table

Despite the great week for VXX and UVYX both funds are still much lower on the year.  This time last week, SVXY YTD performance was up over 50% now the fund’s return stands at just over 31%.

VXX SVXY UVXY

As expected the leaders among the volatility indexes were related to broad based market indexes.  The VVIX move to over 110% is worth noting since that index has a relatively high levels for most of 2016 when compared to the historical range.  I did find it interesting that the only three indexes that lost value last week were currency related.

Vol Index Prices