Thursday, November 17, 2016

Market News for the Prepared Mind: 11.14.2016 – 11.21.2016


The Prepared Mind is tardy and in truncated format.  My wife and I traveled to the least populated counties in Illinois.  Pope and Hardin Counties are farther south than more than half the land mass of Kentucky.  The population centers are clustered between the Ohio Rive and the Shawnee National Forest.  It was a welcome respite from the market chaos preceding the presidential election.

The near absence of call phone and internet connectivity lead to my executive decision to forgo the blog this week.  I have include the weekly performance table to maintain continuity of information.

Here is an overview of the US market behavior last week:
Index 11-Nov Weekly Change % Weekly 2016 YTD Volatility of Index
Dow Jones Industrials (DJIA) 18,847.66 959.41 5.36% 8.16% 15.02% (VXD)
S&P 500 (SPX) 2,164.45 79.27 3.80% 5.90% 14.17% (VIX)
NASDAQ 100 (NDX) 4,751.95 91.49 1.96% 3.37% 18.95% (VXN)
Russell 2000 (RUT) 1,251.61 88.74 7.63% 10.38% 19.68% (RVX)
S&P 100 (OEX) 958.68 34.84 3.77% 5.18% 14.19% (VXO)
Crude Oil (CL Z6) 43.12 (1.01) -2.29% 16.32% 45.31%(OVX)
CBOE Volatility Index (VIX) 14.17 (8.34) -37.05% NA
Data Source: OptionVue8

Here is an overview of last week for the VIX and related products:
Indexes Ticker 11-Nov 4-Nov Change % Change
CBOE Volatility Index VIX 14.17 22.51 (8.34) -37.05%
VIX November Future (11/16/2016) VXX6 14.925 19.325 (4.40) -22.77%
VIX December Future (12/21/2016) VXZ6 16.125 18.975 (2.85) -15.02%
VIX January Future (1/18/2017) VXF7 17.325 19.725 (2.40) -12.17%
VIX February Future (2/18/2017) VXG7 17.925 19.875 (1.95) -9.81%
CBOE Short-term Volatility Index VXST 12.84 28.82 (15.98) -55.45%
CBOE 3 Month Volatility Index VXV 16.49 21.13 (4.64) -21.96%
CBOE Mid-term Volatility Index (6 month) VXMT 18.45 21.44 (2.99) -13.95%
VIX of VIX VVIX 97.22 120.23 (23.01) -19.14%
CBOE SKEW Index SKEW 121.17 133.03 (11.86) -8.92%
Long VIX ETP's
ProShares Ultra VIX Short Term Futures ETF UVXY 13.54 20.39 (6.85) -33.59%
iPath S&P 500 VIX Short Term Futures ETN VXX 31.44 37.94 (6.50) -17.13%
ProShares VIX Short Term Futures ETF VIXY 26.18 31.59 (5.41) -17.13%
iPath S&P 500 VIX Mid-Tem Futures ETN VXZ 35.78 38.49 (2.71) -7.04%
Inverse VIX ETP's
ProShares Short VIX Short Term Future ETF SVXY 78.79 64.32 14.47 22.50%
Daily Inverse VIX Short Term ETN XIV 35.85 33.00 2.85 8.64%
Data Source: OptionVue8



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