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Jay Wolberg
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I'm an independent stock trader specializing in volatility products. I am the founder of Trading Volatility which provides financial data services focusing on volatility derivatives and capital structure arbitrage. My educational background includes a B.S. in Electrical Engineering from the... More
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Trading Volatility
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Fundamental Concepts and Strategies for Trading Volatility ETPs
  • VIX Futures Weekly Wrap: New 67-Month Low In Historical Volatility (HV126) 0 comments
    Feb 8, 2013 5:07 PM | about stocks: VXX, XIV, ZIV, UVXY

    It seems that with every week that goes by volatility sets a new record low of some sort. This week was no exception as actual realized (historical) volatility of the S&P 500 over the past six months (HV126) hit 11.34, a 67-month low.

    Spot VIX edged up on the week to 13.02 (+0.9%) while VIX futures all along the curve were pushed lower, with the spread of the term structure at the front of the curve (months 1 and 2) moving wider to -1.3 while the back end (months 4 and 7) compressed to -1.95.

    Term structures:

    (click to enlarge)VIX Futures Term Structure - Week over Week

    XIV and ZIV remain bullishly biased given that the term structure is in contango and historical volatility continues to decline. As I mentioned in my article this week, VIX can certainly move lower from here and take VIX futures and VXX with it. However, the risk/reward on inverse VIX plays such as XIV and ZIV is currently not very appealing and should be owned with extreme caution.

    Weekly VIX ETF scoreboard:
    - VXX: -0.43%
    - UVXY: -1.04%
    - XIV: +0.32%
    - ZIV: +0.93%
    - S&P 500: +0.31%

    As a reminder, you can always see the current VIX futures term structure, past VIX futures data, and historical volatility on my VIX Futures Data page.

    Stocks: VXX, XIV, ZIV, UVXY
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