VIX Futures Weekly Wrap

We saw an unusual week of positive correlation between VIX (+3.5%) and SPY (+1.3%), a continuation of a daily occurrence of positive correlation that I identified last week.  Early in the week we also saw VIX hit its lowest close since 4/20/2007 at 12.43 before heading higher over the rest of the week.

VIX Futures Weekly Performance:

Feb-13	Mar-13	Apr-13	May-13	Jun-13	Jul-13	Aug-13
-4.1%	-7.4%	-6.7%	-5.9%	-5.7%	-5.5%	-5.3%

Front month (February), down 4.1% to 14.05, was not able to match the losses experienced by other months despite pressing down to new multi-year lows of 13.65. This resulted in a flattening of the front side of the term structure curve, reducing the negative roll yield of VXX.

Based on these changing conditions and other indicators I established a long position in VXX at $22.70 near the close on Wednesday and I continue to hold it, although I will likely ditch it Monday if it doesn't get going.

Weekly scoreboard for VIX Futures ETPs vs S&P500:
- XIV: +4.2%
- ZIV +6.4%
- SPY: +1.3%

And the daily close of the VIX Futures term structure this week: