Sep 17, 2011

Week in Volatility

Equity markets rose, and volatility indexes fell this week - $SPX  finished low last Friday, and gained 5% over the week, while Euro Stoxx 50 closed on a multi-month low on Monday, but gained almost 4% for the week. Implied volatility ETFs - VXX and VSXX made new multi-month highs. On Friday VIX futures entered a slight contango, while VSTOXX remains in backwardation, showing lingering concerns about European economic recovery.

Implied volatility of VIX options fell, while VSTOXX remained unchanged. As I wrote before, liquidity in VSTOXX options is lower than the VIX, and combined with options expiration coming on Wednesday I don't think we can read much into the numbers.

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