VIX Archives - Cboe Blogs

  • VIX | Trader Talk | Trade Ideas | May 7, 2017, 7:24 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/1/2017 - 5/5/2017

    Weekend Review of Russell 2000 Options and Volatility - 5/1/2017 - 5/5/2017

    Large cap stocks widened the performance spread with small cap stocks with the Russell 1000 (RUI) gaining and the Russell 2000 (RUT) dropping a bit last week.  For the year, RUI is up 7.13% while RUT is up 2.94%. VIX dropped last week, but the CBOE Russell 2000 Volatility Index (RVX) was higher.  Admittedly, RVX was up only 0.02 but when combined with the VIX drop of 0.25 the result is a slight widening of the spread between RVX and VIX.  One trader put on a position late Friday[...]

  • VIX | Trader Talk | Trade Ideas | May 7, 2017, 7:21 PM

    Weekend Review of Volatility Indexes and ETPs - 5/1/2017 - 5/5/2017

    Weekend Review of Volatility Indexes and ETPs - 5/1/2017 - 5/5/2017

    The chart below may be one of the final references to the French Election which came to an end this weekend.  Note VXST, which reflects the IV of very short term SPX options was elevated going into the weekend.  I don’t think it is too much of a stretch to say that a quick drop in VXST may be in the cards come Monday morning.  SKEW dropping dramatically last week may be the last bastion of higher volatility dropping.  This happened despite VIX dropping which makes the[...]

  • VIX | Trader Talk | Trade Ideas | May 6, 2017, 9:57 AM

    Weekend Review of VIX Futures and Options - 5/1/2017 - 5/5/2017

    Weekend Review of VIX Futures and Options - 5/1/2017 - 5/5/2017

    VIX managed to (briefly) put in a post Great Financial Crisis low hitting 9.90 on Monday and sneaking in a 9.99 low on Friday as well.  Full disclosure, I didn’t even see the 9.99 print on Friday, but then again, we are getting conditioned against getting too excited when VIX dips below 10.  Worth noting below is the bigger drop in the May future when compared to spot VIX.  Typically, we see this closer to expiration, but when there’s very little on the horizon that the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 30, 2017, 9:10 AM

    Weekend Review of Volatility Indexes and ETPs - 4/24/2017 - 4/28/2017

    Weekend Review of Volatility Indexes and ETPs - 4/24/2017 - 4/28/2017

    S&P 500 implied volatility was dramatically lower last week.  Of significance is VXV which hit 2017 lows.  I’m teamed up with an academic putting the final touches on a study showing that VXV leads VIX so this may be a signal that the low for VIX in 2017 hasn’t be established and a close below 10.00 is a distinct possibility.  Beyond the long ETPs on the table, which had a pretty tough week, are some other markets worth noting.  First, TYVIX, which was over[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 29, 2017, 1:43 PM

    Weekend Review of Russell 2000 Options and Volatility - 4/24/2017 - 4/28/2017

    Weekend Review of Russell 2000 Options and Volatility - 4/24/2017 - 4/28/2017

    This past week was basically a tie between small and large cap stocks as the Russell 2000 (RUT) and Russell 1000 (RUI) were both up about 1.5%.  Four months into 2017 and RUI continues to maintain a lead of about 3.3% over RUT.  Last week VIX got smashed as did the CBOE Russell 2000 Volatility Index (RVX).  A return to the low end of the range resulted in the VIX / RVX relationship returning to higher levels.   With Weeklys available for trading all kinds of alternatives that[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 29, 2017, 9:00 AM

    Weekend Review of VIX Futures and Options - 4/24/2017 - 4/28/2017

    Weekend Review of VIX Futures and Options - 4/24/2017 - 4/28/2017

    Everyone knows what an ear worm is and if not you will now.  It is basically when a song is stuck in your head.  Since Monday REM’s Orange Crush has been on constant replay in my head.  VIX losing 26% and the front month down 14% definitely qualify as a volatility crush.  Since all this crushing was caused by events in Europe (France specifically) we will take a look at the week over week VSTOXX and associated futures term structure change.  Now I have Officer Barbrady[...]

  • Apr 24, 2017, 8:18 AM

    Weekend Review of Russell 2000 Options and Volatility - 4/17/2017 - 4/21/2017

    Weekend Review of Russell 2000 Options and Volatility - 4/17/2017 - 4/21/2017

    Small caps had a good week last week as the Russell 2000 (RUT) rose about 2.5% which places it up 1.67% for the year.  The large cap focused Russell 1000 (RUI) was up just under 1% and is not up 4.96% for 2017. VIX has worked higher as geopolitical risks have risen in the past couple of weeks and the Russell 2000 Volatility Index (RVX) has done the same.   The result is a lower RVX to VIX risk premium, with this measure actually closing at a 2017 low on Friday.   On Friday there[...]

  • Apr 22, 2017, 1:33 PM

    Weekend Review of VIX Options and Futures - 4/17/2017 - 4/21/2017

    Weekend Review of VIX Options and Futures - 4/17/2017 - 4/21/2017

    April VIX was retired last week and May became the front month.  We have a volatility event this weekend which has resulted in a bit of front month vs spot VIX backwardation.  I have a feeling that will not be the case as the election results are digested starting Sunday night. The curve below shows VSTOXX versus the available VSTOXX futures contracts.  Like VIX, April VSTOXX was retired with a settlement level in the mid-20's.  Backwardation is a bit more obvious here which[...]

  • Apr 22, 2017, 9:59 AM

    Weekend Review of Volatility Indexes and ETPs - 4/17/2017 - 4/21/2017

    Weekend Review of Volatility Indexes and ETPs - 4/17/2017 - 4/21/2017

    The VXST – VIX – VXV – VXMT curve is a textbook, “here’s what it looks like in front of an event”.  The event being the first round (yes it doesn’t end Sunday) of the French Election.  We will know when the markets open Monday morning who the two finalists are to be the next Presidence del al Republique.  I do expect VXST to fall back in line come Monday morning, either with the longer dated contracts rallying but more likely due to VXST dropping[...]

  • VIX | Trader Talk | Trade Ideas | Apr 21, 2017, 9:51 AM

    Short Some Shares and Call Me in the Morning

    Short Some Shares and Call Me in the Morning

    Who wants to buy high and sell low?  Why would anyone buy calls before the closing bell and sell them to someone for half price the next morning when the opening bell rings?  When would anyone feel okay about buying for 88 cents and then selling for 45?  Answer: When the calls are just a wrapper, a box designed to keep something else safe while in transit, like a shoe box protects the merchandise on the delivery truck so that your purchase isn't thrown on the porch one shoe at a time[...]

  • Apr 20, 2017, 1:57 PM

    Rewrap and Return to the Store

    Rewrap and Return to the Store

    Before the paint was really dry I started tinkering with the reverse collar set up yesterday.  The first thing I did, acting upon a suspicion (you could call it a wish) that the VIX would sift downward the next day (which is today, as I write this), is that I closed the short put.  To recap the spread, it was as such, all of it opened yesterday, April 18th: Shares of UVXY sold short at 19.48 Put for the April 21st expiration, 19.00 strike, sold short for 0.62 Call for the April 21st expiration,[...]

  • VIX | French Election | Apr 19, 2017, 4:55 PM

    A Case of Volatility Futures Leading an Index

    A Case of Volatility Futures Leading an Index

    The first round of the French Election occurs this coming weekend and the implied volatility of broad based options in Europe is taking notice.  The European version of VIX is VSTOXX which is based on Euro Stoxx 50 Index options.  Today VSTOXX closed over 24.00 as Euro Stoxx 50 options are pricing in high volatility over the next few weeks in anticipation of the market’s reaction to the French Election.  The VSTOXX futures market also (correctly) anticipated a rise in VSTOXX[...]

  • Apr 19, 2017, 7:58 AM

    Taking the Unmarked Trail

    Taking the Unmarked Trail

    Every once in a while I have to try something new, and that means choosing something different from the menu and forgoing that same old tried-and-true sandwich.  What sandwich am I talking about?  My own trademarked "strangle sandwich, which is no one's favorite but my own.  It's a doozy; it's not for all tastes, and it might just fail and make you sick (and sorry you tried it.)  Let me tell you what it is before I tell you what I opted for instead, today: I like premium, so[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:32 AM

    Weekend Review of Russell 2000 Options and Volatility - 4/3/2017 - 4/7/2017

    Weekend Review  of Russell 2000 Options and Volatility - 4/3/2017 - 4/7/2017

    An emerging theme in 2017 is that when stocks come under pressure the Russell 2000 (RUT) seems to take it on the chin a bit more than the Russell 1000 (RUI).  Last week the large cap focused RUI was lower by 0.33% while RUT lost just over 1.5%.  This widens the lead that RUI has on RUT to about 4.5% for 2017.  With small caps leading stocks lower the relative level of small cap volatility remains high compared to large cap volatility.  The best way to measure this is the CBOE[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:29 AM

    Weekend Review of Volatility Indexes and ETPs - 4/3/2017 - 4/7/2017

    Weekend Review of Volatility Indexes and ETPs - 4/3/2017 - 4/7/2017

    When there is not a whole lot going on to impact the financial markets we can get fixated on different topics.  Maybe that is what is going on with me and the French Election process.  The steep difference between VXST and VIX on the chart below may reflect the time frame being measured by VXST being just short of the pending rise in implied volatility that is expected in front of round one of the election in a couple of weeks.  It will be interesting to see if we get a relative rise[...]