Weekend Review – Volatility Indexes and ETPs – 9/12 – 9/16

After a lot of zigging and zagging VIX and the other S&P 500 related volatility indexes finished lower on a week over week basis.  The curve depicting the relationship among VXST, VIX, VXV, and VXMT even returned to a historically normally shape.


I found VVIX remaining over 100 interesting despite last week’s drop in VIX.  Also, the drop in TYVIX is noteworthy as it occurred in front of a week where we get a Fed decision.

VXX Table

In the exchange traded product space the long funds were basically unchanged while SVXY actually gave up about 2%.


Most volatility markets were lower last week.  Leading the way lower was VXGOG which closed at an all-time low after giving up 50% last week.

Volatility Indexes

Few trading vehicles give the bang for the buck that you get from UVXY when there’s a volatility event in the markets.  We know this benefit can come with a price as when there is no big move in expected market volatility UVXY will continue to move to the downside.   One trader came in on Friday with a trade that limits the damage if no quick upside move in UVXY occurs between now and the second Friday in October.


When UVXY was trading at 23.24 a trader came in and purchased the UVXY Oct 14th 20 Calls for 5.50 and sold the UVXY Oct 14th 26 Calls for 3.50 and a net cost of 2.00.

UVXY PONote the break even for this trade is 22.00 which is lower than where the fund was trading when the spread was executed.  The upside is capped at 4.00 which is two times the cost and a nice payoff if UVXY is above 26.00 up expiration.