The big news in the VIX world this week was Monday's 34% gain. And while the S&P 500 retraced the losses to close out the week barely green (+0.17%), VIX remained elevated finishing +8.4% on the week.
Unlike
last week, VIX Futures followed the move in spot VIX in a more standard fashion with some additional emphasis on the first three months, compressing the term structure by 1.4 points:
Despite this move in VIX during the week, the volatility risk premium actually fell to 23% as actual volatility over the past month (HV21) rose to 12.55 from 9.89 last Friday. This suggests VIX is pretty well priced given recent market action.
Weekly VIX ETF scoreboard:
VXX: +8.2%
UVXY: +12.8%
XIV: -11.2%
ZIV: -3.4%
SPY: +0.17%
-JW
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