VIX Futures Weekly Performance:
|
Jan-13
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Feb-13
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Mar-13
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Apr-13
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May-13
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Jun-13
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Jul-13
|
|
-7.2%
|
-3.9%
|
-2.2%
|
-1.6%
|
-2.6%
|
-2.7%
|
-2.8%
|
Front month (January), down 7.2% to 14.15, saw the heaviest selling and dropped to the lowest close for front month VIX futures since 6/19/2007. January futures expire next Tuesday at which point short term VIX ETPs (XIV, SVXY, VXX, UVXY) will start to use February as front month futures, which will help fuel XIV/SVXY.
March futures and beyond fell a slightly, with the back end of the curve compressing a bit, decreasing the roll yield and making ZIV a little less attractive in the short term.
A look at the VIX futures weekly performance vs SPY:
- XIV: +3.9%
- ZIV: +1.9%
- SPY: +0.5%
Finally, the VIX futures term structure at the end of each day this week:
