UVXY Archives - Cboe Blogs

  • VIX | Trader Talk | Trade Ideas | Dec 10, 2017, 12:57 PM

    Weekend Review of Volatility Indexes and ETPs - 12/4/2017 - 12/8/2017

    Weekend Review of Volatility Indexes and ETPs - 12/4/2017 - 12/8/2017

    Stocks ended the week on a strong note and the result was S&P 500 related volatility indexes doing what they do in 2017 after even a slight move to the upside and lost value.  The curve shifted lower and back into contango. Again, VVIX remains a bit elevated, something that was pointed out a couple of times last week in Hong Kong at our Risk Management Conference.  Steve Sears also discusses the use of VIX options this weekend in his column noting the most common use is hedging. [...]

  • VIX | Trader Talk | Trade Ideas | Nov 12, 2017, 4:19 PM

    Weekend Review of Volatility Indexes and ETPs - 11/6/2017 - 11/10/2017

    Weekend Review of Volatility Indexes and ETPs - 11/6/2017 - 11/10/2017

    S&P 500 volatility rose across the four volatility indexes based on SPX option pricing this past week.  The short side of the equation was up strong and the longer dated indexes (VIX3M and VXMT) had good weeks as well.  It may just be some concern is finally returning to the equity markets.   The long funds had solid weeks with the unleveraged ETPs gaining 3% to 7%, with the big winner being EVIX which is based on VSTOXX futures trading.  The short funds gave up almost the[...]

  • VIX | Trader Talk | Trade Ideas | Nov 4, 2017, 11:23 AM

    Weekend Review of Volatility Indexes and ETPs - 10/30/2017 - 11/3/2017

    Weekend Review of Volatility Indexes and ETPs - 10/30/2017 - 11/3/2017

    VIX closed on an all-time low Friday and VXST was lower on the week as well, but note the right side of the VXST – VIX – VIX3M – VXMT curve where we had a slight rise in both the longer dated S&P 500 related volatility indexes.  The long ETPs were looking good on Monday, but they managed to give it back and more by the end of the week.  Even SKEW and VVIX, which have been holding up relative to VIX most of 2017 are starting to work lower.  Across the spectrum[...]

  • VIX | Trader Talk | Trade Ideas | Oct 29, 2017, 1:32 PM

    Weekend Review of Volatility Indexes and ETPs - 10/23/2017 - 10/27/2017

    Weekend Review of Volatility Indexes and ETPs - 10/23/2017 - 10/27/2017

    Of the four volatility indexes based on SPX option pricing, only VIX was lower last week.  This is the second week where the longer dated indexes (VIX3M and VXMT) rose while VIX was lower. Despite VIX dropping the long ETPs gained ground last week.  This is a great lesson in what these products give you, exposure to VIX futures and both the November and December contracts rose slightly despite the drop in VIX.  Of note on the table below is the majority of green lines versus reddish[...]

  • VIX | Trader Talk | Futures | Trade Ideas | Oct 1, 2017, 9:03 AM

    Weekend Review of Volatility Indexes and ETPs - 9/25/2017 - 9/29/2017

    Weekend Review of Volatility Indexes and ETPs - 9/25/2017 - 9/29/2017

    The S&P 500 continues to power higher finishing the week (and 3rd quarter) at an all-time high.  The price action last week pushed all the SPX related volatility indexes lower, but not by much.  All were already low and testing levels that have been pretty much a floor before the week commenced.  The long VIX related ETPs reacted as would be expected with VIX hovering in single digits last week with VXX down about 5% and UVXY losing just under 10% on the week.  For the[...]

  • VIX | Trader Talk | Education | Sep 13, 2017, 4:08 AM

    Panel on Volatility ETPs at CBOE RMC

    Panel on Volatility ETPs at CBOE RMC

    Nick Cherney, Head of Exchange Traded Products at Janus Henderson and Pete Clarke, Global Head of Equity Derivatives Strategy at UBS split duties for a session titled Design and Trading of US and European Volatility Related ETPs at RMC today. Cherney kicked things off giving a history of VIX related ETPs and demonstrating the tremendous growth of these markets.  He also noted the VSTOXX futures market is growing, but that the size of that market is much smaller than the VIX futures market. [...]

  • VIX | Trader Talk | Trade Ideas | Jul 22, 2017, 3:10 PM

    Weekend Review of Volatility Indexes and ETPs - 07/17/2017 - 7/21/2017

    Weekend Review of Volatility Indexes and ETPs - 07/17/2017 - 7/21/2017

    VIX finished the week just off all-time lows and the VXST - VIX - VXV - VXMT curve shifted lower.  This is a result of realized volatility for S&P 500 price action remaining low and there not appearing to be any speed bumps on the horizon for the financial markets.  VVIX dipped below 80.00 to finish the week and TYVIX is near all-time lows despite there being an FOMC meeting this Wednesday.  The long funds continue to suffer (discussed a little more shortly) and the short funds[...]

  • VIX | Trader Talk | Trade Ideas | Jul 16, 2017, 8:54 AM

    Weekend Review of Volatility Indexes and ETPs - 7/10/2017 - 7/14/2017

    Weekend Review of Volatility Indexes and ETPs - 7/10/2017 - 7/14/2017

    We only have data going back to the 2007 – 2008 period for the non-VIX SPX related indexes on the diagram below.  VXST, VXV, and VXMT all made all-time lows, based on the history we have to work with, on the close Friday.  VIX closing at 9.51 was the third lowest on record.  However, the two instances of lower closing prices for VIX occurred on December 22nd and 23rd of 1993 (9.38 and 9.41).  In December 1993, the 24th was a market holiday as Christmas fell on the 25th. [...]

  • VIX | Trader Talk | Trade Ideas | Jul 8, 2017, 10:46 AM

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

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

    The short end of the SPX volatility spectrum dropped last week which following a holiday-ish weekend is a little surprising to me.  Maybe getting employment out of the way pushed VXST lower relative to the other indexes.  Also note VXV and VXMT outperformed VIX to the upside.  Take my word on this, VXV often leads VIX and is worth keeping an eye on.  The long funds had a good wee with the unleveraged funds gaining over 2% and the leverage long funds rising by almost 5%. [...]

  • 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[...]

  • 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[...]

  • 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[...]