VIX Archives - Cboe Blogs

  • VIX | Trader Talk | Trade Ideas | Nov 18, 2017, 3:11 PM

    Weekend Review of Volatility Indexes and ETPs - 11/13/2017 - 11/17/2017

    Weekend Review of Volatility Indexes and ETPs - 11/13/2017 - 11/17/2017

    What the heck is going on with VXST on the chart below?  Basically Thanksgiving.  As a nine-day measure of SPX implied volatility this index takes into account options that have their implied volatility under pressure to adjust for extra time decay since we have Thursday off and a half day this coming Friday.  I have a funny feeling this time next week VXST will have fallen back in line (or contango) with the other indexes below.  The long funds were a bit lower last[...]

  • VIX | Bitcoin | Nov 14, 2017, 9:43 AM

    Bitcoin vs. VIX - What Has Been More Volatile in 2017?

    Bitcoin vs. VIX - What Has Been More Volatile in 2017?

    Recently, Cboe announced plans to list futures contracts on bitcoin which is still in the works pending regulatory review.  Since that announcement I’ve been paying much more attention to the crypto currency space and even spent time with an 8th grader in my neighborhood who is mining ethereum.  In watercooler discussions at Cboe (which take place in our coffee shop), we were discussing the volatility of bitcoin and one smart guy said it was probably similar to VIX.  That[...]

  • VIX | Trader Talk | Trade Ideas | Nov 12, 2017, 4:19 PM

    Weekend Review of Volatility Indexes and ETPs - 11/6/2017 - 11/10/2017

    Weekend Review of Volatility Indexes and ETPs - 11/6/2017 - 11/10/2017

    S&P 500 volatility rose across the four volatility indexes based on SPX option pricing this past week.  The short side of the equation was up strong and the longer dated indexes (VIX3M and VXMT) had good weeks as well.  It may just be some concern is finally returning to the equity markets.   The long funds had solid weeks with the unleveraged ETPs gaining 3% to 7%, with the big winner being EVIX which is based on VSTOXX futures trading.  The short funds gave up almost the[...]

  • VIX | Trader Talk | Trade Ideas | Nov 12, 2017, 3:42 PM

    Weekend Review of Russell 2000 Options and Volatility - 11/6/2017 - 11/10/2017

    Weekend Review of Russell 2000 Options and Volatility - 11/6/2017 - 11/10/2017

    Small caps fell farther behind last week as the Russell 2000 (RUT) was down 1.37% while the Russell 1000 (RUI) was down only 0.24%.  For the year RUT is now up 8.71% while RUI has gained a very respectable 15.21%.  This time last week the CBOE Russell 2000 Volatility Index (RVX) premium relative to VIX was at 2017 highs.  Despite the fall off in RUT compared to RUI, the ratio experienced a pretty dramatic drop.  We are going to attribute that to the rise in VIX more than an[...]

  • VIX | Trader Talk | Trade Ideas | Nov 12, 2017, 12:20 PM

    Weekend Review of VIX Futures and Options - 11/6/2017 - 11/10/2017

    Weekend Review of VIX Futures and Options - 11/6/2017 - 11/10/2017

    VIX rose over 20% last week and the futures curve followed, but not nearly to the extent as the spot index.  The November contract goes off the board on the open Wednesday finishing the week at only a 0.31 premium to the spot index.  Usually the December contract is conspicuously low relative to spot VIX at this time of year as no one is concerned about the holidays and there are a few extra non-trading days associated with VIX around December expiration.  However, the over 2 point[...]

  • VIX | Trader Talk | Nov 5, 2017, 1:18 PM

    Agenda Set for 3rd Annual Cboe RMC Asia - Dec 5 - 6

    Agenda Set for 3rd Annual Cboe RMC Asia - Dec 5 - 6

    Every job has the things you ‘have to do’ and those that you ‘get to do’.  I know I have worn this line out, but I cannot think of a better way to describe what the Cboe Risk Management Conferences mean to me.  The schedule for this year’s Asian version of RMC was posted on Friday and as always the lineup is very strong with respect to both the quality of speakers as well as the topics that will be covered in Hong Kong on December 5th and 6th.  Day[...]

  • VIX | Trader Talk | Trade Ideas | Nov 4, 2017, 11:23 AM

    Weekend Review of Volatility Indexes and ETPs - 10/30/2017 - 11/3/2017

    Weekend Review of Volatility Indexes and ETPs - 10/30/2017 - 11/3/2017

    VIX closed on an all-time low Friday and VXST was lower on the week as well, but note the right side of the VXST – VIX – VIX3M – VXMT curve where we had a slight rise in both the longer dated S&P 500 related volatility indexes.  The long ETPs were looking good on Monday, but they managed to give it back and more by the end of the week.  Even SKEW and VVIX, which have been holding up relative to VIX most of 2017 are starting to work lower.  Across the spectrum[...]

  • VIX | Trader Talk | Trade Ideas | Nov 4, 2017, 11:16 AM

    Weekend Review of Russell 2000 Options and Volatility - 10/30/2017 - 11/3/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/30/2017 - 11/3/2017

    The Russell 2000 (RUT) had a tough week, losing almost 1% while the large cap focused Russell 1000 (RUI) managed to rise by 0.26%.  The outperformance of large versus small caps was threatened toward the end of the third quarter, but RUI is up 2.65% versus only a 0.27% rise for RUT in the fourth quarter. Due to very low VIX and a rise in the CBOE Russell 2000 Volatility Index (RVX) last week, the RVX / VIX relationship finished the week with RVX at over a 60% premium to VIX.  This happened[...]

  • VIX | Trader Talk | Trade Ideas | Nov 4, 2017, 11:10 AM

    Weekend Review of VIX Futures and Options - 10/30/2017 - 11/3/2017

    Weekend Review of VIX Futures and Options - 10/30/2017 - 11/3/2017

    VIX finished the week on an all-time closing low level.  However, despite the dramatic drop last week, only the November VIX future was lower while the rest of the contracts were higher for the week.  It may be that traders are expecting the low volatility environment to be coming to an end.    On Wednesday, a trader took a stance that VIX is going to remain at low levels, but higher than the recently very low readings.  With VIX around 9.90 and the November future trading[...]

  • VIX | Trader Talk | Nov 4, 2017, 7:14 AM

    VIX Index Hits 9.14, its All-Time Daily Closing Low Value

    VIX Index Hits 9.14, its All-Time Daily Closing Low Value

    On November 3 the Cboe Volatility Index® (VIX®) closed at 9.14, an all-time record low for both a daily and weekly closing value for the index. While the news media often focuses on the spot VIX Index, volatility traders analyze the price movements of VIX futures. The prices for VIX futures at the close on November 3 ranged from 10.1 to 16.4. Investors can learn more about use of VIX futures and options at www.cboe.com/VIX and at upcoming Cboe Risk Management Conferences – [...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Cboe Benchmark Indexes | Nov 2, 2017, 4:14 PM

    Historic Volatility Recently Dropped Below 1.7 for Eight Cboe Benchmark Indexes

    Historic Volatility Recently Dropped Below 1.7 for Eight Cboe Benchmark Indexes

    In times of geopolitical uncertainties, many investors are searching for investments with low volatility and higher yields. Several news stories have noted that stock indexes recently had low volatility. On October 18 the 20-trading-day historic volatility for the S&P 500 (SPX) Index dropped to 3.4, its lowest level since 1969 (source: Bloomberg). There now is concern that with higher price-earnings ratios, the volatility of stock indexes could spike in coming months. EVEN LOWER HISTORIC VOLATILITY[...]

  • VIX | Trader Talk | Trade Ideas | Oct 29, 2017, 1:32 PM

    Weekend Review of Volatility Indexes and ETPs - 10/23/2017 - 10/27/2017

    Weekend Review of Volatility Indexes and ETPs - 10/23/2017 - 10/27/2017

    Of the four volatility indexes based on SPX option pricing, only VIX was lower last week.  This is the second week where the longer dated indexes (VIX3M and VXMT) rose while VIX was lower. Despite VIX dropping the long ETPs gained ground last week.  This is a great lesson in what these products give you, exposure to VIX futures and both the November and December contracts rose slightly despite the drop in VIX.  Of note on the table below is the majority of green lines versus reddish[...]

  • VIX | Trader Talk | Trade Ideas | Oct 29, 2017, 1:29 PM

    Weekend Review of VIX Futures and Options - 10/23/2017 - 10/27/2017

    Weekend Review of VIX Futures and Options - 10/23/2017 - 10/27/2017

    VIX finished the week lower, but notice the change for the standard first, second, and third month futures which was green for the week.  VIX may have dropped at the end of the week, but the VIX futures are acting like the volatility players are not expecting the move lower to hold. One trader took advantage of the volatility strength on Wednesday to get short volatility using Weeklys futures.  With VIX around 12.90 and the Nov 8th Future at 13.00 there was a small buyer of the VIX Nov[...]

  • VIX | Trader Talk | Trade Ideas | Oct 29, 2017, 1:27 PM

    Weekend Review of Russell 2000 Options and Volatility - 10/23/2017 - 10/27/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/23/2017 - 10/27/2017

    Large cap stocks continue to dominate small caps this past week as the Russell 1000 gained 0.20% while the Russell 2000 was down 0.06%.  I guess dominate is a pretty strong word when referring to last week, but for the year RUI is up 15.20% while RUT is up 11.14%, the term works better when comparing 2017 year to date performance. VIX gave up some ground on a week over week basis while the Russell 2000 Volatility Index (RVX) was higher.  The result is the RVX / VIX relationship up to[...]

  • VIX | Trader Talk | Trade Ideas | Oct 22, 2017, 9:24 AM

    Weekend Review of Volatility Indexes and ETPs - 10/16/2017 - 10/20/2017

    Weekend Review of Volatility Indexes and ETPs - 10/16/2017 - 10/20/2017

    The short term volatility indexes (VXST and VIX) were up a bit last week as the S&P 500 set multiple all-time closing record highs last week.  VIX3M (formerly VXV) and VXMT were both up slightly resulting the rare ‘term-structure twist’.  It’s really not that rare, I just had a nature documentary voice in my head as I typed that.  The table below has few surprises (beyond VXST and VIX higher).  TYVIX heading to higher levels is a bit of a head scratcher[...]