After trading at its steepest (short-term volatility lowest vs medium-term volatility) in 5 months last Monday, VIX rallied notably (and the curve flattened) on the week to 2015 lows. At the same time, in the 'traded' VIX product world, 2 rather notable things happened: first, VIX futures, which were at a record net long positioning at the end of January, have plunged to a net negative (short VIX) positioning once again; and second, and more stunningly, VXX (the VIX ETF) saw the biggest surge in units created since record began. Between these violent swings and the push-pull weights of oil's high vol and AAPL dominance of any dispersion, we suspect VVIX (vol of vol) will pick up notably from its 3-month lows.
From 5-month steeps, VIX rallied and flattened all week...
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VIX Futures have swung once again to a net negative (short VIX) positioning...
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And the most VXX ETF units were created last week ever...
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While the implications are unclear, it seems like so many other aspects of the markets currently, the volatility complex is extremely fragile.
Charts: Bloomberg
