Weekend Review of Volatility Indexes and ETPs – 10/29/2017

Of the four volatility indexes based on SPX option pricing, only VIX was lower last week.  This is the second week where the longer dated indexes (VIX3M and VXMT) rose while VIX was lower.

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Despite VIX dropping the long ETPs gained ground last week.  This is a great lesson in what these products give you, exposure to VIX futures and both the November and December contracts rose slightly despite the drop in VIX.

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Of note on the table below is the majority of green lines versus reddish lines.  It’s been rare in 2017 that more volatility indexes rise than drop on a week over week basis.

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On Wednesday VXX spent some time above 38 and when the popular ETN was around 38.50 someone came in and decided the move wouldn’t run to the low 40’s through the end of the week.  Specifically there was a seller of the VXX Oct 27th 42 Calls for 0.51 who purchased the VXX Oct 27th 45 Calls for 0.26 and a credit of 0.25.  The risk here is VXX over 45.00 and a loss of 2.75.  However, there wasn’t much danger of this happening as VXX turned to the downside shortly after this trade.

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 Weekend Review of Volatility Indexes and ETPs – 10/29/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 10/22/2017

The short term volatility indexes (VXST and VIX) were up a bit last week as the S&P 500 set multiple all-time closing record highs last week.  VIX3M (formerly VXV) and VXMT were both up slightly resulting the rare ‘term-structure twist’.  It’s really not that rare, I just had a nature documentary voice in my head as I typed that.

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The table below has few surprises (beyond VXST and VIX higher).  TYVIX heading to higher levels is a bit of a head scratcher until I notice the December FOMC meeting is sneaking up on us.  It’s difficult to think the December meeting is around the corner when it’s 75 degrees in Chicago as I type this.  Finally, worth noting is SKEW rallying to near all-time highs as the S&P 500 did the same.

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Across the volatility universe most indexes were lower.  IBM and Goldman Sachs volatility on the bottom of the table is a great reminder than not all volatility markets are the same.  Looking at the top end of the chart the words, ‘mixed bag’ popped into my mind.

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As mentioned already, we experienced a short-lived volatility spike Thursday morning, this sent me looking for traders using options on volatility linked ETPs to take the other side of this move.  With VXX up around 35.60 a trader came in and sold the VXX Oct 20th 34.00 Calls at 1.68 and purchased the VXX Oct 20th 36.50 Calls for 0.31 and a net credit of 1.37.  The payout at expiration (Friday’s close) shows up below.

 Weekend Review of Volatility Indexes and ETPs – 10/22/2017 at vixtrade.com

This turned out to be a well-timed fade of the volatility move that lasted about 45 minutes.  VXX finished the week at 33.79, 0.21 under the short call strike of 34.00 which places it a perfect place for this bear call spread as both options expired with no value.

 Weekend Review of Volatility Indexes and ETPs – 10/22/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 10/15/2017

There are lots of articles floating around discussing the lack of volatility in the markets along with the low level of VIX.  It’s reaching a point where we don’t have much else to say and are just waiting for a change of scenery.  With all that going on, the four volatility indexes based on SPX option pricing remained low and on average were basically unchanged last week.

 Weekend Review of Volatility Indexes and ETPs – 10/15/2017 at vixtrade.com

There is a single data point standing out on the table below.  That is VVIX in the upper 90’s.  Despite VIX being at such low levels for such a long time, there is strong demand for VIX options, especially on the call side of the board.

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Short volatility dominance continues with SVXY up 127% for the year and both VXX and UVXY are down dramatically.

 Weekend Review of Volatility Indexes and ETPs – 10/15/2017 at vixtrade.com

 

Across the suite of volatility indexes quoted by CBOE several rose last week, earnings season is putting some upward pressure on the individual stock volatility indexes.  Silver, the Euro, and EFA (Developed markets outside of North America) were all leaders.

 Weekend Review of Volatility Indexes and ETPs – 10/15/2017 at vixtrade.com

Late Monday, as VXX was spending a little time over 38.00 a trader used Weekly options to take a stand that the early week strength in VXX would not last.  Specifically, they sold the VXX Oct 13th 38 Calls for 0.88 and bought the VXX Oct 13th 50 Calls for 0.11 taking in a credit of 0.77.

 Weekend Review of Volatility Indexes and ETPs – 10/15/2017 at vixtrade.com

Since these options expired on Friday I can show the full outcome of the trade (if held through Friday’s close).  VXX finished the week at 35.34 well below the short strike of 38.00 which places it safely in the profit zone.

 Weekend Review of Volatility Indexes and ETPs – 10/15/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 7/30/2017

On a week over week basis the S&P 500 was down fractionally.  One would not assume such a small move from SPX when looking at the VXST – VIX – VXV – VXMT curve below.  VXST and VIX made nice moves to the upside while the longer end of the curve moved up a bit less resulting in a slight flattening of the curve.

 Weekend Review of Volatility Indexes and ETPs – 7/30/2017 at vixtrade.com
The long funds that focus on the first and second month futures were up slightly while the short funds were down slightly.  SKEW and VVIX both moved up nicely last week which should be encouraging for volatility bulls or equity market bears.

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The three funds that represent long (VXX), daily double long (UVXY), and daily short (SVXY) have had very divergent performance this year and last week didn’t really change much on the year to day performance below.  SVXY did manage to top up 100% early in the week before falling off a bit.

 Weekend Review of Volatility Indexes and ETPs – 7/30/2017 at vixtrade.com

The majority of volatility indexes quoted by CBOE were higher last week.  If it weren’t for earnings from GOOG, IBM, and AMZN which resulted in a volatility crush in options on those stocks there would probably be more green on the table below.

 Weekend Review of Volatility Indexes and ETPs – 7/30/2017 at vixtrade.com

 

Early Thursday, before volatility finally started to get moving someone came in and bought a large number of out of the money VXX calls with an outlook that appears to hope for an overdue volatility spike between now and September 15th.  With VXX at 11.00 they purchased just over 2500 of the VXX Sep 15th 15 Calls for 0.34.  Note about a 40% move is needed for this trade to break-even at expiration, for most markets that’s unheard of, but not in the volatility world.

 Weekend Review of Volatility Indexes and ETPs – 7/30/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 7/16/2017

We only have data going back to the 2007 – 2008 period for the non-VIX SPX related indexes on the diagram below.  VXST, VXV, and VXMT all made all-time lows, based on the history we have to work with, on the close Friday.  VIX closing at 9.51 was the third lowest on record.  However, the two instances of lower closing prices for VIX occurred on December 22nd and 23rd of 1993 (9.38 and 9.41).  In December 1993, the 24th was a market holiday as Christmas fell on the 25th.  Also, options expiring on January 21, 1994 dominated the VIX calculation as there was just under 30 days left until that expiration. There were three market holidays between the days where VIX closed lower that this past Friday and the third Friday of January.  We know holidays take a little bit out of VIX, we see it every December and often before three-day weekends.  Since there are no holidays between now and the two option series feeding into VIX (August 11th and August 18th) I’m going to say the VIX closing price on Friday counts as an all-time low, with an asterisk followed by the previous explanation.

 Weekend Review of Volatility Indexes and ETPs – 7/16/2017 at vixtrade.com

The week was tough for long funds and good for short funds.  VMIN continues to have a great 2017 and added over 11% to that year.  VSTOXX is low which contributed to over a 9% move in the upstart EXIV ETN.  Finally, TYVIX is testing all-time lows at 3.75.

 Weekend Review of Volatility Indexes and ETPs – 7/16/2017 at vixtrade.com

SVXY is on path for an easy double in 2017 as long as we don’t get a catastrophic market event in the next few months while VXX and UVXY performance continues to languish.  As a quick reminder, UVXY is set for a reverse split this coming week.

 Weekend Review of Volatility Indexes and ETPs – 7/16/2017 at vixtrade.com

The table below shows how volatility is under pressure across the board.  VXIBM and VXAZN moving up are both a function of a pending earnings announcement.  GVZ snuck in an all-time low in late June, which I missed, and at 11.11 is amazingly low when you read about geopolitical issues.

 Weekend Review of Volatility Indexes and ETPs – 7/16/2017 at vixtrade.com

As the trading week had about an hour left and VXX was trading at 12.01 someone came into the VIX Pit (VXX options trade there too) with a bullish VXX trade that has a pretty interesting time-frame.  The trader sold the VXX Sep 1st 14 Puts for 2.54 and bought the VXX Sep 1st 12.50 Puts for 1.34 and a net credit of 1.20.  The risk for this trade is 0.30 if VXX is at or below 12.50 on the close September 1st.  Basically, for this trade to make money we need a volatility event (or two) that pushes VXX up to around the short strike prices of 14.00. The payout diagram below shows the payoff at expiration, but also includes a half way to expiration line since I believe our put spread seller would be inclined to take profits on any sort of volatility spike.

 Weekend Review of Volatility Indexes and ETPs – 7/16/2017 at vixtrade.com

 Weekend Review of Volatility Indexes and ETPs – 7/16/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 7/2/2017

I’ve been traveling like a madman on behalf of CBOE in June.  I try my best to keep up with the markets when I’m out and about, but sometimes the catch up occurs outside of real time.  This weekend is one of those catch up weekends.  I was aware of the VIX move over 15.00 (who wasn’t?) and that VIX was a bit higher than it had been for most of 2017 to finish the week.  What surprised me was the level of VXST on Friday.

VXST is a measure of 9-day volatility expectations as indicated by short dated SPX option contracts.  When we have holiday weekends VXST tends to come under a bit of pressure since there will be an extra day without trading figuring into the calculation.  Hence my surprise when VXST was elevated as much as it was on a week over week basis on the VXST – VIX – VXV – VXMT term structure chart below.

 Weekend Review of Volatility Indexes and ETPs – 7/2/2017 at vixtrade.com

TYVIX up 20% stands out on the table below which is probably a function of last week’s VIX spike being somewhat central bank oriented.  VXX was higher, but VXZ lost a bit of value.  As a reminder VXX owns the front two month VIX futures while VXZ is long months 4 through 7.  The short end of the VIX curve was higher while the long end was lower last week.

 Weekend Review of Volatility Indexes and ETPs – 7/2/2017 at vixtrade.com

We ended the first half of 2017 on Friday and the result was VXX down just a rounding error less than 50%.  SVXY has a stellar six months as short volatility strategies have ruled in 2017.

 Weekend Review of Volatility Indexes and ETPs – 7/2/2017 at vixtrade.com

The FANG stocks have been in the news off and on lately due to some pressure which I’m going to attribute to profit taking or more willing sellers than buyers (both are silly statements, I know).  Whatever the reason, the option markets on the FANG (Facebook, Apple, Netflix, Google) have been very active and we have an example of this as VXAPL and VXGOG were the leading gainers last week.  Price action plus earnings season being around the corner contribute to the strong moves in the individual stock volatility indexes.

 Weekend Review of Volatility Indexes and ETPs – 7/2/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 6/25/2017

VXST was slightly higher while the rest of the SPX related volatility indexes dropped last week.  All moves were relatively small as we have truly entered the summer doldrums, at least for broad based index volatility.

 Weekend Review of Volatility Indexes and ETPs – 6/25/2017 at vixtrade.com

There’s very little exciting on the table below.  TYVIX bumped up slightly, but is still at very low levels.  VVIX remaining over 80.00 is interesting as traders may continue to take advantage low VIX to get long volatility exposure through buying calls or spreads that put some upward pressure on OTM calls.

 Weekend Review of Volatility Indexes and ETPs – 6/25/2017 at vixtrade.com

We are at almost the mid-point for 2017 and short volatility has ruled the year.  SVXY is up over 80% while VXX is down a little over 50%.  When a fund loses 50%, you need a 100% gain to get back to flat.  Don’t count VXX out for the year as the underlying index gained over 100% in October 2008.  I’m not predicting that sort of action again this year, but just noting it has happened in the past.

 Weekend Review of Volatility Indexes and ETPs – 6/25/2017 at vixtrade.com

I mentioned equity index volatility was tame, but that doesn’t mean all volatility was boring last week.  Headline price action in the oil market resulted in nice gains for OVX and VXXLE.  VXGS was the leader of the pack last week which I’m going to attribute mostly to earnings, but also to some bullish option activity that keeps popping up in the financial sector.

 Weekend Review of Volatility Indexes and ETPs – 6/25/2017 at vixtrade.com

Any strength in VXX this past week came on Tuesday.  Mid-day VXX was around 12.95 and a bear put spread was executed when the VXX Jun 23rd 13.00 Puts were purchased for 0.31 and the VXX Jun 23rd 12.50 Puts were sold for 0.07 resulting in a net cost of 0.24.

 Weekend Review of Volatility Indexes and ETPs – 6/25/2017 at vixtrade.com

This trade was nearly perfect as VXX finished the week at 12.54, just 0.04 above the short strike.  Of course, it is very possible our trader exited this position early, but even if that were the case I bet they were happy with the outcome.

 Weekend Review of Volatility Indexes and ETPs – 6/25/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 6/18/2017

As the week came to a close VXST which measures 9-day volatility expectations took a dive.  Hence the big drop on the left side of the VXST – VIX – VXV – VXMT diagram below.

 Weekend Review of Volatility Indexes and ETPs – 6/18/2017 at vixtrade.com

TYVIX finished the week below 4.00 which was a first for 2017, but not outside of the long term historical range.  I checked the market expectations for the next FOMC meeting in late July and right now we have a 100% chance of nothing happening.  That much certainty probably justifies such a low volatility expectation.  Skew worked a little bit higher last week and VVIX was little changed which can be considered indications that there is at least some concern about the future direction of stocks.

 Weekend Review of Volatility Indexes and ETPs – 6/18/2017 at vixtrade.com

The long funds continue to experience a dreadful year in 2017 while SVXY will probably be near the top of many mid-year performance charts in a couple of weeks which always brings new (neophyte) investors into this space.  Of course the first 20% pullback will scare many away at what has historically been the best time to purchase a short volatility fund like VMIN, SVXY, or XIV.

 Weekend Review of Volatility Indexes and ETPs – 6/18/2017 at vixtrade.com

With a couple of small exceptions the volatility indexes quoted by CBOE were mostly lower last week.  I see no pattern in the mix of indexes that rose so it’s tough to attribute the green changes below to anything other than market randomness..

 Weekend Review of Volatility Indexes and ETPs – 6/18/2017 at vixtrade.com

I guess the trade below is a version of Monday morning quarterbacking (post-expiration perfect trade fitting?).  The only life VIX really experienced last week came on Monday, which also pushed VXX higher for the day.  As the end of the day approached a trader came in and purchased 100 VXX Jun 16 13.50 Puts for 0.40 combined with selling the same number of VXX Jun 16 13.00 Puts for 0.14 and a net cost of 0.26.  I admitted as I started discussing this trade that I was benefiting from hindsight and we can see this trade was perfect based on where VXX closed Friday.

 Weekend Review of Volatility Indexes and ETPs – 6/18/2017 at vixtrade.com

 Weekend Review of Volatility Indexes and ETPs – 6/18/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 6/11/2017

That little bump in VXST that shows up on the far left side of the diagram below can be attributed to Friday afternoon activity.  VXST rose 0.75 Friday while VIX was up 0.54.  Shorter dated SPX option pricing is used to calculate VXST than VIX.  It may be the weakness Friday afternoon in large cap tech stocks may have traders worrying about the direction of the stock market over the short term.

 Weekend Review of Volatility Indexes and ETPs – 6/11/2017 at vixtrade.com

Several things pop out at me on the table below.  VMAX had a nice week rising 2% and outpacing the other long unleveraged VIX related ETPs.  SKEW is fairly high, which with VIX rebounding a bit is a more worrisome reading than when VIX was under 10.00 or working its way down there.  VVIX rising with higher VIX is an indication that demand for VIX calls seems to be increasing.  Finally, a different theme, but it is interesting to see the weakness in EVIX, which is based on VSTOXX futures, that accompanies the UK election coming to a conclusion at the end of last week.

 Weekend Review of Volatility Indexes and ETPs – 6/11/2017 at vixtrade.com

On Friday the Nasdaq-100 (NDX) was down 1.8%, the S&P 500 was down only 0.08%, and the Russell 2000 (RUT) gained 0.43%.  This is a heck of a divergence and this shows up some in the table below with VXN coming in as the leading gainer among volatility indexes quoted by CBOE.  In fact Friday was the 9th biggest single day gain for VXN on record.  Note the volatility indexes that represent option activity in two big NDX stocks are high up on the list as well.    At the bottom of the list is BPVIX followed closely by the other currency related volatility indexes.

 Weekend Review of Volatility Indexes and ETPs – 6/11/2017 at vixtrade.com

VXX and UVXY were both up slightly last week.  However, 2017 has been anything but kind to anyone long volatility.  On the flip side SVXY up over 70% on the year.

 Weekend Review of Volatility Indexes and ETPs – 6/11/2017 at vixtrade.com

Finally, I came across a pretty interesting SVXY trade from late Friday.  With SVXY at 154.26 someone sold 100 SVXY Jun 16th 131 Puts at 1.15.  That’s it, a pure sell of put options.  Normally I shy away from discussing such trades, but SVXY is a different animal.  When you sell puts you get the obligation to buy the underlying.  The long term trend for short volatility funds is up, with some bumps in the road.  Taking on the obligation to buy SVXY this coming Friday at 131.00 a share means purchasing the fund if it drops 15% or more next week.  It is very possible for SVXY to lose 15% in a week or even much more.  However, SVXY does make sense as a buy on a drip and this trade accomplishes just that with the result of not buying being a profit equal to the 1.15 credit taken in Friday afternoon.

 Weekend Review of Volatility Indexes and ETPs – 6/11/2017 at vixtrade.com >

Weekend Review – Volatility Indexes and ETPs – 5/21/2017

The week over week VXST – VIX – VXV – VXMT curve moved higher and appears to have done so in a very parallel fashion.  Since the week over week change doesn’t do the actual activity justice so I added the Wednesday closing curve to the graphic below.

 Weekend Review – Volatility Indexes and ETPs – 5/21/2017 at vixtrade.com

I was honestly a little surprised at how little the S&P 500 dropped on a week over week basis and double checked the number.  I made a joking prediction Thursday morning that we would retrace the Trump Dump from Wednesday with in a week, that prediction is one good day early next week from being correct.  The long volatility ETPs did well and the short funds gave up some of the ground gained this year, but still hold a solid lead as the next chart will show.

 Weekend Review – Volatility Indexes and ETPs – 5/21/2017 at vixtrade.com

VXX and UVXY got nice bumps in the middle of the week and SVXY got hit.  All fund changed course on Thursday and Friday, but not enough to result in a losing week for the long funds.

 Weekend Review – Volatility Indexes and ETPs – 5/21/2017 at vixtrade.com

The Brazilian equity market came under pressure last week and the result was a huge move in VXEWZ.  Also, currency volatility was much higher across the board.

 Weekend Review – Volatility Indexes and ETPs – 5/21/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 5/14/2017

This time last week we were all pretty certain that the final round of the French election was a done deal.  Short term SPX implied volatility wasn’t taking any chances with VXST closing last Friday at 11.40.  With the election outcome going as expected VXST got a little crushed and the shape of the VXST – VIX – VXV – VXMT curve moved back to contango.

 Weekend Review of Volatility Indexes and ETPs – 5/14/2017 at vixtrade.com

Both the S&P 500 and VIX dropped last week, as the number of potential stock market land mines over the next few weeks (that we can see coming) is limited.  VVIX inched up a bit as some traders took advantage of low VIX option IV to get long volatility exposure.  SKEW moved lower which is interesting with VIX so close to 10.00.  It may just be that no one is worried about a black swan any times soon, which of course by definition is when they happen.  A glimmer of hope for the longer term VIX bulls shows up in the performance of VXZ which is based on owning a basket of August, September, October, and November VIX futures contracts.

 Weekend Review of Volatility Indexes and ETPs – 5/14/2017 at vixtrade.com

Of great interest on the table below is the move higher in both VXAPL and VXIBM.  Apparently, Warren Buffett has been adding to his AAPL position and scaling back his IBM holdings which may have sparked option trading after last weekend’s Berkshire get together in Omaha.  Apparently the call buying was aggressive enough in the AAPL arena that the skew for AAPL options was higher on the call side than the put side to start last week.  VXMT moved higher, which mirrors the move in VXZ above, which may make one wonder if the market is focusing on the fourth quarter of 2017 as the latest at which we will expect lower stock prices.

 Weekend Review of Volatility Indexes and ETPs – 5/14/2017 at vixtrade.com

 

For the mean time, long volatility continues to take it on the chin as both VXX and UVXY moved lower.  SVXY benefits from what is bad for the long funds and now is up almost 70% for 2017.

 Weekend Review of Volatility Indexes and ETPs – 5/14/2017 at vixtrade.com

I went searching the ETP option world for a very bullish trade to discuss this weekend.  When things are so quiet as represented by VIX, but at the same time there seem to be multiple geopolitical situations that could erupt at any moment some traders will be looking for a cheap method to be on the right side of a volatility spike.  UVXY call options are a great place to find such a trade and I didn’t have to look to hard to find a good one.

 Weekend Review of Volatility Indexes and ETPs – 5/14/2017 at vixtrade.com

On Friday afternoon with UVXY around 12.55 a trader purchased the UVXY Jun 9th 12.50 Calls for 1.26 and then sold the UVXY Jun 9th 21.00 Calls at 0.31 for a net cost of 0.95.  The payoff at Jun 9th expiration shows up below, although a quick volatility event would probably result in our trader monetizing some profits.

 Weekend Review of Volatility Indexes and ETPs – 5/14/2017 at vixtrade.com >

Weekend Review – Volatility Indexes and ETPs – 4/30/2017

S&P 500 implied volatility was dramatically lower last week.  Of significance is VXV which hit 2017 lows.  I’m teamed up with an academic putting the final touches on a study showing that VXV leads VIX so this may be a signal that the low for VIX in 2017 hasn’t be established and a close below 10.00 is a distinct possibility.

 Weekend Review – Volatility Indexes and ETPs – 4/30/2017 at vixtrade.com

Beyond the long ETPs on the table, which had a pretty tough week, are some other markets worth noting.  First, TYVIX, which was over 6.00 for the first time in a while finished the week down almost 26%.  SKEW gained, but don’t take that as an increase in tail risk as this would be expected with volatility moving lower across the board.  Finally, VVIX under 80.00 is possibly the most relatively complacent of the indexes quoted below.

 Weekend Review – Volatility Indexes and ETPs – 4/30/2017 at vixtrade.com

SVXY approached all-time highs and is now up almost 60% for the year.  VXX and UVXY got hit on the move lower in the VIX complex.  I discuss a long SVXY trade that worked out well based on last week’s action at the end of this blog.  Do keep in mind that the second round of the French election is this coming weekend, there’s not a lot of uncertainty priced in, but if Le Pen makes a run in the polls we may have another opportunity in volatility trading brought to us by the French election process.  After that our attention will turn to London with elections being held in early June.

 Weekend Review – Volatility Indexes and ETPs – 4/30/2017 at vixtrade.com

I need to double check with our volatility historian (who is actually me and I just don’t have time this weekend to confirm what I’m about to say) but I believe this is the first time since including this table in this blog that all volatility indexes were down on the week.

 Weekend Review – Volatility Indexes and ETPs – 4/30/2017 at vixtrade.com

There are many ways to play a volatility crush like we saw last week.  One is to get long exposure to SVXY.  With a couple of hours to go in the trading day on Friday April 21st SVXY was around 127.50.  At that time, a trader purchased the SVXY Apr 28th 142 Calls for 0.68 and then sold the SVXY Apr 28th150 Calls for 0.18 and a net cost of 0.50.  A payoff based on this past Friday’s close appears below.

 Weekend Review – Volatility Indexes and ETPs – 4/30/2017 at vixtrade.com

I did a little more work on this trade.  First, I took a look at how often SVXY has rallied enough in a single week to hit or exceed the long strike (150) in this call spread.  To hit 150, SVXY would needed to have gained about 17.6% last week.   SVXY has been around for 128 weeks and one 3 times a one week rally of 17.6% or greater has occurred.

If held to expiration, the result would be a profit of 2.51 (0.50 cost – 142 Call 3.01 in the money on Friday’s close).  Personally, I would have taken this trade off early so I checked the profit based on each day’s closing prices for the two option in this trade.  Monday, on the close, a profit of 2.77 could have been realized, Tuesday 3.87, Wednesday 3.10, and Thursday 3.13.  Any way you slice it, this trader did a good job anticipating the subsequent drop in S&P 500 volatility that we witnessed last week.

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