Friday Bounce: Wall Street Sector Selector Weekly VIX Report
VIX, the CBOE S&P 500 Volatility Index, the “fear index,” took a sharp plunge Thursday but rallied hard on Friday as fear and volatility re-entered U.S. stock markets.
It was a volatile week for U.S. stocks and ETFs as Hurricane Sandy ripped through New York and New Jersey and VIX, the CBOE S&P 500 Volatility Index, responded accordingly.
For the week, VIX declined 2.5% but the index saw a huge bounce on Friday with a 5.4% gain as U.S. stocks and ETFs finished the day in the red.
VIX tends to move inversely to major U.S. stock indexes like the S&P 500 (NYSEARCA:SPY) and so the index saw violent action as major indexes rallied and fell sharply.
chart courtesy of StockCharts.com
In the chart of VIX (NYSEARCA:VXX) above we can see how the index is an uptrend after bouncing off recent lows in the 14 range and has settled into a new range above its 50 day moving average in the vicinity of 18, still below its long term average of the mid 20s and just below its 200 day moving average (red line).
The chart tells us that VIX (NYSEARCA:TVIX) is in a new uptrend but still needs to break higher to confirm this recent change in trend.
Volatility Index – New Methodology (VIX): Index: +5.4%
iPath S&P 500 VIX Short-Term Futures ETN (NYSEARCA:VXX): +2.57%, This ETN is designed to track volatility in the markets as measured by the Chicago Board Options Exchange Market Volatility Index (CBOE Index), a popular measure of the implied volatility of S&P 500 index options. The CBOE Volatility Index is also known as the “fear” index or “fear” indicator in markets. The iPath S&P 500 VIX Short-Term Futures ETN (NYSEARCA:VXX) prices itself off of the average and implied volatility of the first two months of futures contracts of the S&P 500 Index.
VelocityShares Daily 2X VIX Short-Term ETN (NYSEARCA:TVIX): +0.73%, This ETN is designed to track 2X return on volatility in the markets as measured by the S&P 500 VIX Short-Term Futures Index. The S&P 500 VIX Short-Term Futures Index measures the volatility of the S&P 500 Index via futures contracts as traded on the CBOE. The CBOE Volatility Index is also known as the “fear” index or “fear” indicator in markets.
iPath S&P 500 VIX Mid-Term Futures ETN (NYSEARCA:VXZ): +2.5%, This ETN is designed to track volatility in the markets as measured by the CBOE Volatility Index futures contracts. The CBOE Volatility Index is also known as the “fear” index or “fear” indicator in markets. The iPath S&P 500 VIX Mid-Term Futures ETN (NYSEARCA:VXZ) is priced from the average volatility of the 4th through 7th month futures contracts of the S&P 500 Index as traded on the CBOE.
S&P 500 Dynamic VIX ETF (NYSEARCA:XVZ): +1.86%, This ETN is designed to track volatility in the markets as measured by the S&P 500 Dynamic VIX Futures Total Return Index. The S&P 500 Dynamic VIX Futures Total Return Index seeks to combine results of volatility of the S&P 500VIX Short-Term Futures Index Excess Return and the S&P 500 VIX Mid-Term Futures Index Excess Return to create an accurate market volatility reading, as measured by the CBOE. The CBOE Volatility Index is also known as the “fear” index or “fear” indicator in markets.
Velocity Shares Daily Inverse VIX Short-Term ETN (NYSEARCA:XIV): -2.54%, This ETN is designed to inversely track the volatility in the markets as measured by the S&P 500 VIX Short-Term Futures Index. The S&P 500 VIX Short-Term Futures Index measures the volatility of the S&P 500 Index via futures contracts traded on the CBOE. The CBOE Volatility Index is also known as the “fear” index or “fear” indicator in markets.
Bottom Line: Volatility continues to rock U.S. stocks and ETFs and VIX and VIX ETNs reflect the action in violent up and down moves. More of the same can be expected as the U.S. Presidential Election and fiscal cliff approach.
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Disclaimer: The content included herein is for educational and informational purposes only, and readers agree to Wall Street Sector Selector's Disclaimer, Terms of Use, and Privacy Policy before accessing or using this or any other publication by Wall Street Sector Selector or Ridgeline Media Group, LLC.
