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  • 3 years ago
Volatility Views 159: The VXUP and VXDN Surprise

Volatility Views 159: The VXUP and VXDN Surprise

Volatility Review: Looks like the market started taking the weekend out on Thursday, and never looked back.

VIX Cash: Low: 12.09, High: 13.27
S&P 30-Day realized: 10, S&P 60-Day realized: 11 VVIX: 74.50 - on the lower end of its recent range.
Skew Index: 121.11 - also on the low end of recent range.
Put vs SPX White Paper: A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 PutWrite Index.
VIX Options: A strong volume week. 945K Contracts on Monday, 750k Tuesday, 700k Wednesday and only 350k Thursday.
VIX Up / VIX Down: Despite our doubts last week, the product is doing heavy volume.
Question from IVDaily - Please explain the VXUP and VXDN products to me. I am very confused. What am I getting if I buy this thing? Its not really spot VIX that I am getting, but the actual percentage move in the spot VIX, correct? What does this paired contract thing mean? Do I have to wait for someone to sell VXUP before I can buy the VXDN and vice versa? Shed some more light