VIX Archives - Cboe Blogs

  • Weekend Review of Russell 2000 Options and Volatility - 2/13 - 2/17

    Weekend Review of Russell 2000 Options and Volatility - 2/13 - 2/17

    The Russell 1000 (RUI) gained about 1.5% last week and is now up over 5% for the year while the Russell 2000 (RUT) was up 0.8% and is trailing RUI up a tad more than 3% for 2017. The relative implied volatility of Russell 2000 options dropped to a historically more normal level last week after spending most of this year at the top end of the historical range. On Wednesday RUT managed to close over 1400 which bought out at least one trader with a short term bearish outlook.  With about 30[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Feb 16, 2017, 10:49 AM

    Block Trade Analysis - Large Bullish 1 x 4 VIX Option Trade

    Block Trade Analysis - Large Bullish 1 x 4 VIX Option Trade

    I’m on the road today playing an academic, but regardless of how far I am from CBOE I still am fortunate that I’m constantly keep in the loop about big trades.  I got a heads up this morning that a VIX Mar 15 – 22 1 x 4 Call spread traded in the VIX pit a few minutes after the open.  My assumption was the trader bought the 15’s and sold the 22’s (I was wrong) mainly because all the big trades seem to be based on a low volatility outlook.  Also, my incorrect[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 14, 2017, 5:18 PM

    VIX and Three Day Weekends

    VIX and Three Day Weekends

    Another three-day weekend is sneaking up on us.  The result for those of us that have an unhealthy obsession with VIX is to talk about how a three-day weekend provides a headwind for VIX performance.  It has been awhile since I looked at the impact of holiday weekends so I downloaded data and got to work.  The reason we believe in the three-day weekend effect stems from how VIX is calculated.  VIX is a calendar day measure, so when we are approaching a day where the markets[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 12:20 PM

    Weekend Review of Russell 2000 Options and Volatility - 2/6 - 2/10

    Weekend Review of Russell 2000 Options and Volatility - 2/6 - 2/10

    Both the Russell 1000 (RUI) and Russell 2000 (RUT) were up about 0.80% for the week.  For the year, RUI still holds a performance lead of about 1.3%.  Just for fun and because it was a year ago this weekend that the US equity markets put in the 2016 lows I decided to see where things stood at that time.  As of February 11th of last year RUT was down 16.0% and RUI was down only 11.3%.  Man what a difference a year makes.  In the volatility space, the Russell 2000 Volatility[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 11:27 AM

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    There was a slight and uniform shift lower in the term structure of S&P 500 related volatility indexes last week.  One might say this is a case of all indexes not having much more room to drop.  An ETN I don’t mention too much was interesting to me this week.  VXZ was unchanged on the week as the longer end of the VIX futures curve was mixed.  TYVIX also rebounded a bit at concerns over interest rates had been trending lower.  The March Fed meeting concludes on[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 8:15 AM

    Weekend Review of VIX Futures and Options - 2/6 - 2/10

    Weekend Review of VIX Futures and Options - 2/6 - 2/10

    VIX was little changed last week as the S&P 500 moved higher.  When VIX has a ‘10’ handle and stocks move higher we tend not to see the sort of reaction we might see if VIX were at higher levels.  The most interesting thing below is the front two month futures contracts.  February, which goes off the board this coming week, lost 6% playing catch up with spot VIX.  March dropped almost 4%, but is still at a premium of about 2.50 to spot VIX. We get a heads up[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 7, 2017, 1:14 PM

    Finding Volatility in the US Equity Markets

    Finding Volatility in the US Equity Markets

    VIX is low, we all know VIX is low.  I type that and feel I need to stop channeling Dr. Seuss.  However, there are some pockets of volatility in the US equity markets, we just need to know where to look.  Since CBOE quotes several volatility indexes that are based on the US markets I went searching for places where the market is still pricing in a little concern about the future.  Two areas that stood out –  tail risk and small cap risk.  Let’s start with[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 6, 2017, 9:08 AM

    Weekend Review of VIX Futures and Options - 1/30 - 2/3

    Weekend Review of VIX Futures and Options - 1/30 - 2/3

    VIX rose slightly last week while all standard futures contracts lost value.  February settlement is a week and a half off so the longer VIX remains in the 10’s the more drift lower we should expect out of the front month future.  As the front month starts to approach settlement date, VIX option traders start to focus on farther dated contracts, normally rolling to the following month.  However, it seems skipping March is in vogue among VIX traders with many of last week’s[...]

  • Market News | Feb 6, 2017, 8:55 AM

    The Weekly Options News Roundup – 2/5/2017

    The Weekly Options News Roundup – 2/5/2017

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.        CBOE Launches S&P 500 Range-Bound Premium Income Index On Tuesday, CBOE announced the launch of the CBOE S&P 500 Range-Bound Premium Income Index (SPRI).  The index, which is designed to serve as a benchmark for investors aiming for consistent income distributions[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Feb 6, 2017, 7:44 AM

    Weekend Review of Russell 2000 Options and Volatility - 1/30 - 2/3

    Weekend Review of Russell 2000 Options and Volatility - 1/30 - 2/3

    Small caps continue to close the gap on large cap stocks as the Russell 2000 (RUT) gained 0.52% last week while the Russell 1000 (RUI) was up by 0.18%.  On the volatility front the CBOE Russell 2000 Volatility Index (RVX) remains at the historical high end of value relative to VIX.  This can be attributed to VIX hovering around multiyear lows as much as RVX not following VIX to the lowest end of the range.   On Monday, as the first trading day of the week came to a close one trader[...]

  • 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, 1:32 PM

    Weekend Review of Russell 2000 Options and Volatility - 1/23 - 1/27

    Weekend Review of Russell 2000 Options and Volatility - 1/23 - 1/27

    Small cap stocks rebounded with the Russell 2000 (RUT) gaining 1.4% last week which places RUT at up 1% for 2017.  Large caps, as represented by the Russell 1000 (RUI) were up just over 1% for the week which places RUI at up 2.59% for 2017.   The CBOE Russell 2000 Volatility Index (RVX) is hovering around very low levels.  However, when compared to VIX, things look a little different as the relative premium continues to loom around the highest levels seen in some time. [...]

  • 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 29, 2017, 11:59 AM

    Weekend Review of VIX Futures and Options 1/23 - 1/27

    Weekend Review of VIX Futures and Options 1/23 - 1/27

    VIX fell to multi-year lows last week which reflects quantitatively a lack of concern in the equity markets.  What I found interesting with respect to the numbers below was how the February future lost more than spot VIX last week.  This sort of price behavior is usually associated with expiration rapidly approaching or little in the way of economic events on the horizon.  That’s not the case here as February contracts expire in a couple of weeks and the coming week brings us[...]

  • Jan 22, 2017, 7:17 AM

    Weekend Review of Russell 2000 Options and Volatility - 1/17 - 1/20

    Weekend Review of Russell 2000 Options and Volatility - 1/17 - 1/20

    Large cap stocks ruled the week last week, at least in relative terms as the Russell 1000 (RUI) only gave up 0.18% while the Russell 2000 (RUT) was down 1.47%.  Without checking I’m pretty sure that’s the biggest large cap out performance since the election.  Small cap volatility remains elevated relative to large cap volatility as indicated by the CBOE Russell 2000 Volatility Index (RVX) levels relative to VIX.  I left 2016 on this chart because I don’t think the[...]