VIX Daily Update: Volatility Retreats As Nonfarm Payrolls Beat
CBOE VIX Volatility Index declines amid jobs-inspired rally on Wall Street.
The CBOE VIX Volatility Index (NYSEARCA:VXX) declined sharply on Friday, as US stocks neared all-time highs following better than expected nonfarm payrolls data.
Wall Street’s preferred volatility gauge fell 8.1% 10.97 on Friday. After spiking at the start of the week, the VIX ended on a whimper, with measures of short-term momentum pointing to continued weakness.
Price action has been in a prolonged downtrend since the new year, with the 50-day simple moving average diverging below the 200-day SMA.
The large-cap S&P 500 Index (NYSEARCA:SPY) rallied 0.7% on Friday to close near record highs.
Major VIX ETFs:
iPath S&P 500 VIX Short Term Futures ETN: (NYSEARCA:VXX) Designed to offer exposure to the S&P 500 VIX Short Term Futures Index Total Return. The Index uses CBOE Volatility Index futures by way of a long position in the first and second month VIX Futures contracts. VXX declined 2%.
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VelocityShares Daily Inverse VIX Short Term Futures ETN: (NYSEARCA:XIV) Designed to track the inverse daily performance of the S&P 500 VIX Short Term Futures Index. XIV advanced 2.3%.
ProShares Ultra Short Term VIX Futures: (NYSEARCA:UVXY) UVXY is designed to deliver 2X (leveraged) returns of the day’s moves in the S&P 500 VIX Short Term Futures Index. It tacks the two front months of the futures contract. UVXY declined 3.8%.
VelocityShares Daily Short Term VIX Futures ETN (NYSEARCA:TVIX) TVIX is a leveraged VIX ETN designed to deliver 2X the returns of the daily S&P 500 Short Term Futures Index. TVIX declined 4.3%.
The Final Word: Volatility has failed to generate consistent gains since the presidential election, a sign of continued momentum in the equities market. The VIX continues to trade well below the post-recession average.