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Posted: 09 Mar 2014 07:00 PM PDT
VIX got a day in the spotlight on Monday when the fear index rose 14% based on events going on in a country that 89% of Americans cannot find on a map (this like 99.7% of other statistics was made up). The S&P 500 sold off early and then trudged higher on Monday. The path higher for the S&P 500 continued into Friday where another record close was recorded. Since VIX was recovering from a visit to the 16’s on Monday the week over week result was basically unchanged despite the S&P 500 gaining 1.00%. Do note on the chart below that March is at a pretty nice premium relative to the spot index. VIX March futures and options expire on the open on Tuesday, March 18th – this is a function of there being a market holiday on April 19th this year. Keep in mind we have six trading days left for March VIX contracts and only one trading day after next weekend.
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Posted: 09 Mar 2014 05:00 PM PDT
The S&P 500 closed on a record high Friday afternoon, while record highs were set earlier in the week for the Nasdaq-100 and Russell 2000. Despite the S&P 500 hitting another record to end the week, this is case of playing catch up as the S&P 500 performance in 2014 of up 1.60% is about half the performance from the technology heavy Nasdaq-100 (up 3.58%) and small cap Russell 2000 (up 3.30%). The resulting performance for VXN saw a gain of about 1.5% while RVX dropped 4.41%. The drop in RVX brings it down to being more in line with the spread between RVX and VIX that the market witnessed for most of 2013.
RVX option trading continues to gain some interest. Right now the biggest open interest for March RVX options is in the RVX Mar 29 Calls with 300 contracts open and the open interest for RVX Apr 24 Calls is 200 contracts. |
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