Weekend Review – Volatility Indexes and ETPs – 9/19 – 9/23

Janet Yellen spoke and volatility dropped.  I wonder if she’s the kind of guest that shows up and ruins parties like she dampens any moves in S&P 500 volatility.

VIX Contango

The table below has a ton of red, as would be expected following a week where VIX drops about 20%.  I did field a question on Friday regarding last week’s drop in the context of history and it ranks in about the top 50 week over week drops out of 1400 weekly observations.  VVIX continues to be resilient.  In the 90’s with VIX near 12 shows buyers are still lurking around for VIX options.

VXX Table

SVXY was up over 13% last week with VXX losing about the same amount and UVXY giving up just over 25%.  On my to do list is an analysis of what the stock market does after a 25%+ drop in UVXY.  Of course those that know me know my ‘to do’ list is never ending and one of my children is doomed to inherit it.

VXX SVXY UVXY

Finally, I was able to find some volatility.  I guess with the end of the quarter lurking around we were destined to see a rise in individual stock volatility, hence AMZN and GOOGL were the biggest gainers last week.  It should be noted that both indexes were near all time lows just a week ago.  Also, there seems to be life in the oil market as OVX rose over 10%.  Finally, GVZ is in the middle of the pack below, but a smart volatility market watcher noted that this gold volatility measure hit 2-year lows last week.

Vol Index Table