UVIX

The Week

VIXY (VIXY.US) rose 8.77% this week to close at $17.73. The S&P 500 fell 1.95% over the same stretch, so the ETF outperformed by about 10.72 percentage points. The tape was quiet early, then broke higher late: it held the $16 area from Monday to Wednesday, slipped to $16.40 on Thursday, then surged to an intraday high of $18.48 on Friday before settling at $17.73, with a weekly range of 16.13%.

Cboe Volatility Index This Week

The underlying Cboe Volatility Index climbed from $14.84 to $19.99, up 34.7%. It stayed near $15.2 on Monday and Tuesday, jumped to $16.87 on Wednesday after the inflation print, eased to $16.46 on Thursday, then spiked as high as $22.31 on Friday before closing at $19.99. The weekly amplitude reached 47.63%.

Leverage & Decay

This product replicates the daily move of the Cboe Volatility Index at 1x, not the weekly cumulative move. The index gained 34.7% on the week, so the theoretical 1x return was about 34.7%, while the actual return came in at 8.77%, a gap of -25.93 percentage points. That gap stems from daily rebalancing: Wednesday’s and Friday’s rallies were interrupted, and Thursday’s pullback added churn, amplifying the drag for anyone holding past one day.

Cboe Volatility Index News

This week’s news centred on inflation and the Fed. The US September headline CPI released on 14 October accelerated to 3.7% year on year, and core CPI came in hotter than expected at 2.6%. PPI then also ran warm. Several Fed officials signalled further hikes were possible before year-end, and the October hike probability rose from around 20% to 29%. The Cboe Volatility Index climbed from Wednesday and hit $22.31 on Friday.

The Week Ahead

Next week brings housing and inventory data: NAHB housing market index on 19 October (prior 32, consensus 32), housing starts on 20 October (prior 1.275, consensus 1.305), building permits on the same day (prior 1.403, consensus 1.395), and EIA weekly crude and Cushing crude inventories on 21 October. Whether the inflation impulse carries over and how Fed rate expectations swing remain the main variables for the volatility index.

In Short

The Cboe Volatility Index moved sharply higher, and VIXY posted a gain, but daily rebalancing left the ETF’s actual return far below the index’s weekly cumulative gain. On the latest session, large-lot money was a net seller while medium and small lots were net buyers, pointing to a split in flows. Hot inflation data and rising hike expectations add upward pressure, while next week’s housing and inventory releases could add fresh noise, so the key question is whether the volatility index can hold its gains.

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