VIX, the CBOE S&P 500 Volatility Index, also known as the “fear index,” climbed on worries over the fiscal cliff.
The volatility index climbed for the week ending November 30th but remains below historical long term averages. While the index climbed, long ETNs declined as futures contracts declined due to complacency in the markets and contango in futures contracts pricing.
Volatility Index – Index: 15.8, +4.8%
iPath S&P 500 VIX Short-Term Futures ETN (NYSEARCA:VXX): -1.3%, 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.
VelocityShares Daily 2X VIX Short-Term ETN (NYSEARCA:TVIX): -8.4%, 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.
chart courtesy of StockCharts.com