$VXST Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 19, 2016, 12:48 PM

    Weekend Review - Volatility Indexes and ETPs - 11/14 - 11/18

    Weekend Review - Volatility Indexes and ETPs - 11/14 - 11/18

    The short end of the VXST – VIX – VXV – VXMT curve took it on the chin as the holiday effect took a toll on VXST.  We may see a bit of a rise in VXST relative to the rest of the SPX oriented indexes as we get the Thanksgiving holiday behind us. VIX is what everyone watches when assessing market risk.  VVIX is what the volatility traders look to when trying to gauge how other volatility traders are feeling about the markets.  VVIX has dropped a bit, but[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 4, 2016, 8:47 AM

    Now Even Long Term Volatility is Reacting to the Election

    Now Even Long Term Volatility is Reacting to the Election

    A bonus with respect to the Cubs pulling off what we all thought was impossible has been a distraction from the political process we have all been enduring.  Before bringing everyone back to reality I want to throw an interesting thought out there.  If three years ago someone had said the Cubs will win the World Series and less than a week later Donald Trump would be elected President of the United States, you would think they were referring to a subplot in Back to the Future IV. We know[...]

  • Market News | Oct 1, 2016, 11:21 AM

    Weekend Review - Volatility Indexes and ETPs - 9/26 - 9/30

    Weekend Review - Volatility Indexes and ETPs - 9/26 - 9/30

    The VXST – VIX – VXV – VXMT Curve is a consistent way to look at different S&P 500 Option Implied Volatility time frames.  All four indexes moved up a bit last week, with the curve shape maintaining a pretty steep shape. The ETPs were a mixed bag last week.  VXX and the other long funds that focus on the short end of the curve were higher last week.  VXZ, which focuses on the longer end of the curve was lower, being a victim of the steep contango[...]

  • VIX | Jul 10, 2016, 8:57 AM

    Weekend Review - Volatility Indexes and ETPs - 7/5/2016 - 7/8/2016

    Weekend Review - Volatility Indexes and ETPs - 7/5/2016 - 7/8/2016

    I was participating in the Vol Views podcast Friday around lunch time and decided to take a look at the whole suite of volatility indexes and see if anything was higher.  None of the 29 volatility indexes CBOE quotes were higher at that time and none of them finished higher on Friday.  The list below shows the price changes ranked on a percentage basis for yesterday. The four S&P 500 related volatility indexes moved lower last week.  The largest drop came from VIX[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Feb 21, 2016, 11:39 AM

    Weekend Review Volatility Indexes and ETPs - 2/16 - 2/19

    Weekend Review Volatility Indexes and ETPs - 2/16 - 2/19

    VXST dropped dramatically last week and closed on the lows of 2016.  VIX managed to hold up a little better and looking at the economic calendar for next week I can kind of see why.  VXST often leads VIX so a move below 20.00 next week may not be out of the question.  After I typed that sentence I realized we are only 0.53 away from the teens so it wasn’t the most daring of market predictions. This is the year I am going to focus more on the disconnection in performance[...]

  • Market News | Jan 17, 2016, 11:14 AM

    Weekly Review - Volatility Indexes and ETPs - 1/11 - 1/15

    Weekly Review - Volatility Indexes and ETPs - 1/11 - 1/15

    In an interesting twist VIX was the underperforming index across the VXST – VIX – VXV – VXMT curve rising only 0.01 last week.  It is unusual for VIX to be an outlier like this, but even more so when we experience a three day weekend which one would expect to put some pressure on VXST relative to the longer dated volatility indexes. VXX rose about 7 ½% last week despite the paltry 0.01 gain in VIX.  We all know that VXX is not VIX or even any sort of[...]

  • Market News | Dec 12, 2015, 8:30 PM

    Weekly Review - Volatility Indexes and ETPs - 12/7 - 12/11

    Weekly Review - Volatility Indexes and ETPs - 12/7 - 12/11

    I have returned from a couple of weeks in Asia speaking at CBOE’s First Asian version of CBOE’s Risk Management Conference and helping with the launch of the CBOE Options Institute at SGX in Singapore.  One of the best comments I heard at Risk Management was that when the VIX term structure is flat it indicates uncertainty with respect to the equity markets.  I think this statement translates well with respect to the chart below as well.  VIX, VXV, and VXMT all closed within[...]

  • Market News | Dec 5, 2015, 9:56 PM

    Weekly Review - Volatility Indexes and ETPs - 11/30 - 12/4

    Weekly Review - Volatility Indexes and ETPs - 11/30 - 12/4

    This week I’m reporting in from Singapore where we are about to open the Asian version of The Options Institute at the Singapore Exchange (SGX).  I don’t have a feel for the market activity from last week, but I can read the numbers and can only imagine what a ride it was for some traders last week.  I added the Thursday close to the VXST – VIX – VXMT – VXV graph that shows up below since a week over week chart just doesn’t do justice to what occurred[...]

  • Market News | VIX | Trader Talk | Education | Futures | Sep 26, 2015, 10:44 AM

    The Week in Volatility Indexes and ETPs - 9/21 - 9/25

    The Week in Volatility Indexes and ETPs - 9/21 - 9/25

    With the drop in the S&P 500 last week the market continues to be on edge.  This is reflected in the uniform move higher in the VXST – VIX – VXV – VXMT curve from last week.  Note the ‘bump’ remains on the VXV data point which represents 3 month implied volatility.  This time frame is the first on the chart below to come after the last two Fed meetings in 2015.  It will be interesting to see if a change in the shape curve coincides with the approach[...]

  • Market News | VIX | Trader Talk | Futures | Aug 24, 2015, 8:20 PM

    VIX and Volatility Markets Today - 8/24/2015

    VIX and Volatility Markets Today - 8/24/2015

    First, a quick discussion of the VIX quotes from early today.  Just as the equity market opened the S&P 500 E-mini futures went limit down.  Market makers in the SPX pit at CBOE use the futures for hedging purposes so it was difficult for the traders in the pit to asses where the equity market was going and this created a pause is quoting.  Following the limit down situation there was spotty quoting in SPX and SPXW options so VIX values were not being disseminated.  The VIX[...]

  • Market News | VIX | Trader Talk | Futures | Aug 22, 2015, 11:22 AM

    The Week in Volatility Indexes and ETPs - 8/17 - 8/21

    The Week in Volatility Indexes and ETPs - 8/17 - 8/21

    The S&P 500 was down 5.77% and S&P 500 related volatility indexes did exactly what traders would expect. They shot higher and the curve became as inverted as it has been in the last three to four years. I’m pretty sure the last time the VXST – VIX – VXV – VXMT curve was in this sort of backwardation was in August 2011. For the record VXST was up 231%, VIX rose 118%, VXV gained 51%, and VXMT was higher by about 34% for the week.   Before the week began, XIV[...]

  • Market News | VIX | Trader Talk | Futures | Aug 15, 2015, 8:37 AM

    The Week in Volatility Indexes and ETPs - 8/10 - 8/14

    The Week in Volatility Indexes and ETPs - 8/10 - 8/14

    Three out of four volatility indexes calculated using S&P 500 Index options to determine a consistent measure of implied volatility were lower last week. For all of 2015 the father dated volatility indexes have been elevated relative to VXST and VIX. We are now approaching a time where the potential for a rate hike is closing in. That may be the reason VXV held up last week while the other three indexes dropped. The stock market had a rocky ride, but finished the week higher. Everyone’s[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Futures | Aug 1, 2015, 10:32 AM

    The Week in Volatility Indexes and ETPs - 7/27 - 7/31

    The Week in Volatility Indexes and ETPs - 7/27 - 7/31

    I was reminded of my advancing age several times this past week. I’ll save those incidents for the other grumpy aging men on my block. One of the benefits (let me believe this) of being around for a while is having lived through a variety of market environments. This market got me thinking about John Gotti who was the boss of the Gambino family back in the day. One of his monikers was “The Teflon Don” as he was put on trial three times and acquitted three times. Teflon is a substance[...]

  • Market News | Jul 18, 2015, 8:00 AM

    The Week in Volatility Indexes and ETPs - 7/13 - 7/17

    The Week in Volatility Indexes and ETPs - 7/13 - 7/17

    Last week VIX did what I guess it is supposed to do and moved to very low levels to reflect that we are in the summer doldrums.   VIX dropped in a way it usually rallies and was down 29% last week for the third biggest one week drop since 1990. VXST was down over 43% as the curve went quickly from slight backwardation to contango. The long ETP’s got slapped around a bit with VXX losing 17% and the leveraged funds giving up about 33%. The inverse funds moved higher, but only by about[...]

  • Market News | Jul 17, 2015, 12:18 PM

    Weekly Stock Market Commentary - 7/17/15

    Weekly Stock Market Commentary - 7/17/15

    The oversold conditions that existed last week generated a strong week-long rally. The move above 2100 was constructive, but the chart won't really turn bullish until new highs are made and held.That would require a move above 2135. Put buying has remained relatively heavy, despite the rally. As a result, the equity-only put-call ratios remain in an uptrend and thus remain on sell signals. Currently both breadth oscillators are clinging to buy signals. During this rally, we have literally seen a[...]