Jay Wolberg's  Instablog

Jay Wolberg
Send Message
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
My company:
Trading Volatility
My blog:
Trading Volatility
My book:
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
Back To Jay Wolberg's Instablog HomePage »

Instablogs are blogs which are instantly set up and networked within the Seeking Alpha community. Instablog posts are not selected, edited or screened by Seeking Alpha editors, in contrast to contributors' articles.

Comments (0)
Track new comments
Be the first to comment
Full index of posts »
Latest Followers

StockTalks

More »

Latest Comments


Instablogs are Seeking Alpha's free blogging platform customized for finance, with instant set up and exposure to millions of readers interested in the financial markets. Publish your own instablog in minutes.