VIX Archives - Cboe Blogs

  • 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[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 8, 2017, 1:05 PM

    Weekend Review of VIX Options and Futures - 4/3/2017 - 4/7/2017

    Weekend Review of VIX Options and Futures - 4/3/2017 - 4/7/2017

    The S&P 500 lost about 0.3% last week and VIX rose.  I think the VIX to S&P 500 relationship is only part of the story related to VIX rising last week.  It appears the pending election process in France is starting to influence US volatility.  Note that April is a bit higher than May volatility in the orange circle on the chart below.  This is a fairly rare occurrence for the futures considering the current low level of VIX.  As long as there is a cloud of uncertainty[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 4, 2017, 3:11 PM

    VIX, VSTOXX, and the French Election

    VIX, VSTOXX, and the French Election

    About a year ago, we were all starting to focus on the Brexit referendum which we ‘knew’ wasn’t going to pass.  There were several lessons from the Brexit experience with the top one being do not discount an election until all the votes are counted.  This played out again in November, but that’s not what this blog is about.  This blog is about how VSTOXX and VIX are behaving in front of the pending French election process.  First, going back to June 2016[...]

  • Weekend Review of VIX Futures and Options - 3/27 - 3/31

    Weekend Review of VIX Futures and Options - 3/27 - 3/31

    The Friday to Friday change in the VIX term structure was as orderly as I’ve seen it in some time.  VIX has had a lower average daily close during a quarter only once, the fourth quarter of 2006.  However, the low to high range for VIX has never been tighter than what we experienced in the first quarter of 2017 with the range of 2.54.  On average the range of closing VIX prices is about 10.60 so the VIX market may be a bit wound up to the point where a big move to the upside[...]

  • Market News | Trader Talk | Trade Ideas | Apr 2, 2017, 10:42 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/27 - 3/30

    Weekend Review of Russell 2000 Options and Volatility - 3/27 - 3/30

    The first quarter of the 2017 performance race between the Russell 1000 (RUI) and Russell 2000 (RUT) came to close with large caps up 5.51% and the small cap focused RUT up 2.12%.  The consensus feeling is that RUT got a little too far ahead of RUI from election day through the end of 2016 and RUI was due for a bit of catching up.  The small cap versus large cap risk index is a good way to explain the chart below.  Small cap expected volatility is best represented by the CBOE Russell[...]

  • VIX | Trader Talk | Trade Ideas | French Election | Apr 2, 2017, 9:50 AM

    Weekend Review of Volatility Indexes and ETPs - 3/27 - 3/31

    Weekend Review of Volatility Indexes and ETPs - 3/27 - 3/31

    The shift lower in the VXST – VIX – VXV – VXMT curve was 75% parallel and 25% dramatic.  The dramatic move was at the shorter end of the curve where VXST dropped 28% moving from a premium to discount relative to VIX.  As noted volatility was lower across the board.  Of interest below, VVIX finished below 80 and TYVIX remained at very low levels. For the volatility bulls the only glimmer of hope is SKEW around 140, but it is pretty difficult to get excited about[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 26, 2017, 9:31 AM

    Weekend Review of VIX Futures and Options - 3/20 - 3/24

    Weekend Review of VIX Futures and Options - 3/20 - 3/24

    VIX reached 2017 highs last week as we got our first experience with downside volatility in 2017.  VIX closing at 13.12 widens the low to high range for the first quarter to 2.54.  Barring a close of 13.26 on the upside or 10.44 on the downside next week this will go down as the narrowest VIX range on record.  We continue to look to our friends in Europe for volatility guidance.  After the Dutch election results VSTOXX had the biggest one day drop on record.  Equity market[...]

  • Mar 25, 2017, 1:30 PM

    Weekend Review of Volatility Indexes and ETPs - 3/20 - 3/24

    Weekend Review of Volatility Indexes and ETPs - 3/20 - 3/24

    We finally got a 1% move out of the S&P 500 last week, breaking a streak that has been the focus of many market observers.  The result of the dramatic mid-week drop for SPX was a rise in shorter term implied volatility which shows up nicely below.  For only the second week this year VXX and the other long related ETPs were higher.  VVIX is showing some strength as concern creeps back into the equity markets.  SKEW which reached all-time highs just a week ago, backed off[...]

  • Mar 25, 2017, 11:20 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/20 - 3/24

    Weekend Review of Russell 2000 Options and Volatility - 3/20 - 3/24

    Just when small cap stocks appeared to be making a move to narrow the gap in performance between the Russell 2000 (RUT) and the Russell 1000 (RUI) things have fallen apart with RUT losing 2.65% which places RUT slightly in the red for 2017.  RUI was under pressure as well losing 1.50%, but this index does remain in the positive by 4.50% year to date.  The spread between the Russell 2000 Volatility Index (RVX) and VIX reached the lowest level of the year when RUT started to make a bullish[...]

  • Weekend Review of VIX Options and Futures - 3/13 - 3/17

    Weekend Review of VIX Options and Futures - 3/13 - 3/17

    We got a pretty orderly shift down in the VIX curve last week as the market easily digested a rate hike by the FOMC.  Also, the March premium to spot VIX at about 0.50 is pretty narrow, however the April premium remains a bit wide based on pending events in Europe.  We have been paying attention to the VSTOXX term structure due to market concerns about the pending French election.  It appears the Dutch results pushed spot VSTOXX lower, in fact the reaction was the biggest one day[...]

  • Mar 18, 2017, 1:08 PM

    Weekend Review of Russell 2000 Options and Volatility - 3/13 - 3/17

    Weekend Review of Russell 2000 Options and Volatility - 3/13 - 3/17

    Mama Tomato and Baby Tomato are walking down the street.  Moma Tomato keeps getting upset because Baby Tomato keeps falling behind.  She finally stops, walks back to Baby Tomato and squashes him.  “Catch up” she says and continued on her way.  That’s what small cap stocks did this past week, a little catch up, as the Russell 2000 (RUT) was up 1.9% last week while the Russell 1000 (RUI) gained 0.33%.  The spread for the year narrowed, but RUI is still 6.2%[...]

  • Mar 18, 2017, 10:20 AM

    Weekend Review of Volatility Indexes and ETPs - 3/13 - 3/17

    Weekend Review of Volatility Indexes and ETPs - 3/13 - 3/17

    We got a parallel shift lower in the SPX term structure last week as the fed raised rates and lowered the risk of owning equities at the same time.  I know the fed gets a lot of criticism, but hiking rates to slow the economy a bit without having a psychologically negative impact on the financial markets seems like a group doing a pretty good job to me. The long volatility ETPs continue to have a tough 2017 while XIV and SVYX are putting up strong numbers.  As would be expected TYVIX[...]

  • Mar 14, 2017, 6:14 PM

    First Quarter VIX Range and Average Near Record Lows, But Will It Last?

    First Quarter VIX Range and Average Near Record Lows, But Will It Last?

    As we come to the end of the first quarter of 2017 all the talk about VIX has been how quiet VIX has been.  I ran some numbers today and discovered that the high to low range for VIX during the current quarter, using closing prices, is 2.34.  This is by far the narrowest quarterly range for VIX on record.  The current narrowest quarter occurred in the third quarter of 1995 with a range of 2.68.  VIX either needs to close over 13.26 or under 10.24 (or a combination of widening[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 2:04 PM

    Weekend Review of Volatility Indexes and ETPs - 3/6 - 3/10

    Weekend Review of Volatility Indexes and ETPs - 3/6 - 3/10

    The short end of the VXST – VIX – VXV – VXMT curve moved up while the longer end hardly budged.  TYVIX is at 2017 lows going into FOMC week, but it appears equity volatility may be pricing in some uncertainty in front of this week’s Fed decision.  Needless to say and already mentioned, VXST is the big attention getter on the table below with a 24% gain last week.  The Ten-Year futures dropped more in front of higher rates, but note that TYVIX, which closed[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 11:40 AM

    Weekend Review of VIX Options and Futures - 3/6 - 3/10

    Weekend Review of VIX Options and Futures - 3/6 - 3/10

    VIX was higher and all VIX futures were lower last week.  We have been in a pretty steep state of contango which flattened a bit.  However, there are expectations that April will remain elevated due to market conditions in Europe.  This will be explained a little more below. The VSTOXX term structure appears below and note the elevated April futures contract price relative to the spot index (it’s impossible to miss).  This shape has been around for a while now and we’ll[...]