UVXY Archives - Cboe Blogs

  • Feb 6, 2017, 7:21 AM

    Unexpected and Vicious

    Unexpected and Vicious

    Today's saga starts on January 24th, just two days ago but it seems like last week.  I had just, the day prior, added to my core short TVIX position to raise the number of shares from 2,000 to 2,500 as you see in the portfolio graphic below.  The price for that lot of 500 was $6.26.  This will be revisited later in the post. First, let's dispose of the TNA story.  You'll see that standing out at the top of the graphic like the subject of a "which of these things is not like the[...]

  • Jan 29, 2017, 12:44 PM

    Weekend Review of Volatility Indexes and ETPs - 1/23 - 1/27

    Weekend Review of Volatility Indexes and ETPs - 1/23 - 1/27

    All four of the S&P 500 related volatility indexes quoted by CBOE were lower last week.  The price action resulted in the usual cries that VIX is too low, but after this first chart I’m going to show where volatility has been lower and not just decades ago, but much more recently. To get a historical perspective I compared all four volatility indexes to their 2016 lows as well as lowest prices since 2008.  The asterisk on the chart for post 2008 lows is there since we only have[...]

  • Jan 21, 2017, 4:40 PM

    Weekend Review of Volatility Indexes and ETPs - 1/17 - 1/20

    Weekend Review of Volatility Indexes and ETPs - 1/17 - 1/20

    The four volatility indexes based on S&P 500 option pricing were mixed on a week over week basis.  VXST and VIX rose while VXV and VXMT dropped slightly.  The result was a slight week over week twist in the curve below.  Note a couple of additions to the table below, VMAX and VMIN which have a different construction than VXX and XIV will now be monitored on a week over week basis.  Both have a shorter-term outlook than the standard VIX related funds.  The big standout[...]