Weekend Review – Volatility Indexes and ETPs – 9/26 – 9/30

The VXST – VIX – VXV – VXMT Curve is a consistent way to look at different S&P 500 Option Implied Volatility time frames.  All four indexes moved up a bit last week, with the curve shape maintaining a pretty steep shape.

vxst-vix-vxv-vxmt

The ETPs were a mixed bag last week.  VXX and the other long funds that focus on the short end of the curve were higher last week.  VXZ, which focuses on the longer end of the curve was lower, being a victim of the steep contango that has existed in the VIX curve for most of 2016.  SVXY and XIV were lower, but ZIV (inverse of VXZ) moved up a tad.

vxx-table

With nine months behind us, SVXY is up strong and both VXX and UVXY have had a tough year based on VIX at relatively low levels this year.

vxx-svxy-uvyx-ytd-performance

For the second week in a row individual stock implied volatility lead the charge higher with VXGOGL and VXAZN moving higher by over 20%.

volatility-indexes

Late Monday, with VXX around 35.60 and up 1.80 on the day a calendar spread came into the VIX pit using VXX options half the trade has expired as the VXX Sep 30th 37 Calls were sold at 0.71 and the VXX Oct 21st 37 Calls were purchased for 2.17 and a net cost of 1.46.  The first payoff diagram shows the result for the trade as of this past Friday.

vxx-po-1

Assuming no changes, the position is now long the VXX Oct 21st 37 Call at a cost of 1.42, which is a bit more than the cost of this call as of Friday.  The payout below is upon the option’s expiration and assuming that no other trades occur.  However, I wouldn’t be surprised if another shorter dated call is sold if VXX makes another move to the upside.

vxx-po-2