The Week

Pro Vix Shrt Fut (VIXY.US) fell 2.51% this week, closing at $16.30 and trailing the S&P 500 by about 3.66 percentage points. The week opened at $16.60 on Monday, slid to a low of $16.065 on Tuesday, bounced to a high of $16.79 on Thursday, and settled near $16.30 on Friday—a rangebound week overall. Amplitude was 4.37%, and average daily volume of 1.89m shares ran about 16% below the local median.

Cboe Volatility Index This Week

The linked Cboe Volatility Index fell 3.07% to 14.84, with amplitude of 10.41%. It opened at 16.24 on Monday, dipped to 14.96 on Tuesday, chopped around 15 through Wednesday and Thursday, then slid to 14.77 intraday on Friday before closing at 14.84. The week’s centre of gravity moved lower.

Leverage & Decay

VIXY replicates the Cboe Volatility Index on a daily basis rather than multiplying the week’s cumulative move. The index dropped 3.07% this week; the theoretical 1x move is about -3.07%, while VIXY actually fell 2.51%—a gap of roughly +0.56%. The gap comes from daily rebalancing: decay is limited in a one-way market, but a choppy week like this one compounds the difference. Holding long-term is not the same as 1x of the cumulative return.

Cboe Volatility Index News

This week’s news flow around the Cboe Volatility Index centred on the Fed’s rate path. September minutes showed officials were unanimous about raising rates, but economic conditions have since changed. Waller and Musalem both said more hikes are needed while leaving room for flexibility on pace. Prediction markets put the odds of an October hike at 14%. The index’s centre of gravity moved lower over the same stretch, suggesting the market priced in less near-term stress.

The Week Ahead

Next week’s focus is on US macro data: Tuesday brings NFIB small business optimism and existing home sales; Wednesday’s CPI and core CPI are the key prints. Consensus sees core CPI ticking up from 2.4% to 2.5% year over year. The data will reshape rate expectations and set the short-term direction for the Cboe Volatility Index.

In Short

VIXY’s smaller drop versus the linked index this week owes something to daily rebalancing. News flow focused on the rate path while the index’s centre of gravity drifted lower. Next week’s CPI is the main event: how far the print lands from expectations will likely set the Cboe Volatility Index’s next move.

This article is generated by LongbridgeAI from market data, for information only and not investment advice.