VXX Archives - Cboe Blogs

  • VIX | Trader Talk | Trade Ideas | Jun 25, 2017, 9:00 AM

    Weekend Review of Volatility Indexes and ETPs - 6/19/2017 - 6/23/2017

    Weekend Review of Volatility Indexes and ETPs - 6/19/2017 - 6/23/2017

    VXST was slightly higher while the rest of the SPX related volatility indexes dropped last week.  All moves were relatively small as we have truly entered the summer doldrums, at least for broad based index volatility. There’s very little exciting on the table below.  TYVIX bumped up slightly, but is still at very low levels.  VVIX remaining over 80.00 is interesting as traders may continue to take advantage low VIX to get long volatility exposure through buying calls or spreads[...]

  • Trader Talk | What's Trading | Jun 19, 2017, 3:44 PM

    What's Trading Today? FB Bull Put Spread...

    What's Trading Today?  FB Bull Put Spread...

    Facebook Bull Put Spread With FB trading at 151.95 someone sold 200 FB Jun 30th 152.50 Puts for 2.44 and bought the FB Jun 30th 146.00 Puts for 0.60 and a net credit of 1.84.  A quick summary appears in the video below. At expiration the net result with FB above 152.50 would be a profit of 1.84, equal to the credit taken in on the trade.  The worst case scenario is a loss of 4.66 and this trade has a break-even of 150.66.    Other trades of note: With Bank of America (BAC)[...]

  • VIX | Trader Talk | Trade Ideas | Jun 17, 2017, 2:01 PM

    Weekend Review of Volatility Indexes and ETPs - 6/12/2017 - 6/16/2017

    Weekend Review of Volatility Indexes and ETPs - 6/12/2017 - 6/16/2017

    As the week came to a close VXST which measures 9-day volatility expectations took a dive.  Hence the big drop on the left side of the VXST – VIX – VXV – VXMT diagram below.  TYVIX finished the week below 4.00 which was a first for 2017, but not outside of the long term historical range.  I checked the market expectations for the next FOMC meeting in late July and right now we have a 100% chance of nothing happening.  That much certainty probably justifies[...]

  • VIX | Trader Talk | Trade Ideas | Jun 10, 2017, 6:39 PM

    Weekend Review of Volatility Indexes and ETPs - 6/5/2017 - 6/9/2017

    Weekend Review of Volatility Indexes and ETPs - 6/5/2017 - 6/9/2017

    That little bump in VXST that shows up on the far left side of the diagram below can be attributed to Friday afternoon activity.  VXST rose 0.75 Friday while VIX was up 0.54.  Shorter dated SPX option pricing is used to calculate VXST than VIX.  It may be the weakness Friday afternoon in large cap tech stocks may have traders worrying about the direction of the stock market over the short term.  Several things pop out at me on the table below.  VMAX had a nice week rising[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 3, 2017, 8:31 PM

    Weekend Review of Volatility Indexes and ETPs - 5/30/2017 - 6/2/2017

    Weekend Review of Volatility Indexes and ETPs - 5/30/2017 - 6/2/2017

    The VXST – VIX – VXV – VXMT week over week curve change only has one noticeable move.  VXST was up nicely last week, but we are going to attribute the whole move to the 3 day weekend effect and say the curve was basically unchanged.  The long volatility funds drifted down and short volatility ruled the week with SVXY rising 2% and relative newcomer VMIN gaining 2.2% last week.  Worth noting below is VVIX which remains above 80.00 despite VIX closing for the second[...]

  • VIX | Trader Talk | Trade Ideas | May 28, 2017, 9:36 AM

    Weekend Review of Volatility Indexes and ETPs - 5/22/2017 - 5/26/2017

    Weekend Review of Volatility Indexes and ETPs - 5/22/2017 - 5/26/2017

    VXST closed Friday at an all-time low of 7.60 which sounds impressive until you hear that for VXST the history we have to work with only goes back to 2011.  I am going to make a bold prediction and say that VXST will move higher when the market reopens on Tuesday.  Read that as sarcasm as VXST has never followed a three-day weekend without moving higher.  After having a short period of upward movement, the VIX related funds gave back performance and then some last week.  The[...]

  • VIX | Trader Talk | Trade Ideas | May 21, 2017, 5:55 AM

    Weekend Review of Volatility Indexes and ETPs - 5/15/2017 - 5/19/2017

    Weekend Review of Volatility Indexes and ETPs - 5/15/2017 - 5/19/2017

    The week over week VXST – VIX – VXV – VXMT curve moved higher and appears to have done so in a very parallel fashion.  Since the week over week change doesn’t do the actual activity justice so I added the Wednesday closing curve to the graphic below.  I was honestly a little surprised at how little the S&P 500 dropped on a week over week basis and double checked the number.  I made a joking prediction Thursday morning that we would retrace the Trump Dump[...]

  • VIX | Trader Talk | Trade Ideas | May 13, 2017, 9:24 AM

    Weekend Review of Volatility Indexes and ETPs - 5/8/2017 - 5/12/2017

    Weekend Review of Volatility Indexes and ETPs - 5/8/2017 - 5/12/2017

    This time last week we were all pretty certain that the final round of the French election was a done deal.  Short term SPX implied volatility wasn’t taking any chances with VXST closing last Friday at 11.40.  With the election outcome going as expected VXST got a little crushed and the shape of the VXST – VIX – VXV – VXMT curve moved back to contango.  Both the S&P 500 and VIX dropped last week, as the number of potential stock market land mines over[...]

  • 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[...]

  • 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[...]

  • 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[...]

  • 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 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[...]

  • 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 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[...]