VVIX Archives - Cboe Blogs

  • 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 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[...]

  • 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[...]

  • 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[...]