With what now looks like a short term head-fake in the widely followed VIX (CBOE Volatility Index) last week as the index traded as high as 18.20 (vaulting from below 12 in just four trading sessions), related exchange traded funds and notes have been exceptionally active.
This morning the VIX has settled back into 13.59, just below its 50 day moving average.
The largest ETN in the “Volatility” category, VXX (iPath S&P 500 VIX Short Term Futures ETN, Expense Ratio 0.89%) has seen more than $230 million flow out of the fund in recent sessions while XIV (VelocityShares Daily
Inverse VIX Short Term ETN, Expense Ratio 1.35%) has attracted $138 million.
Following that same trend, SVXY (ProShares Short VIX Short Term Futures ETF, Expense Ratio 0.95%) has reeled in $26 million and UVXY (ProShares Ultra VIX Short Term Futures ETF, Expense Ratio 0.95%) has lost more than $119 million in the same time frame.
Although these products are linked to VIX Futures and not the VIX Index itself, the presence of volatility in the marketplace that rippled through equities last week, and certainly influenced by exogenous events such as the unfortunate bombings in Boston for example as we roll through corporate earnings season, has created short term trading and/or hedging opportunities which users of these products clearly gravitate towards.
Surely it would be fair to say that the “Volatility of Volatility” has been high in recent sessions.