VXX 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 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[...]

  • 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[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 5, 2017, 8:08 AM

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Textbook and parallel are two terms that come to mind to described the shift in the VXST – VIX – VXV – VXMT curve below.  Also, steep comes to mind as the longer dated indexes are pretty elevated when compared to VIX and VXST. The long funds below benefited from volatility increasing a bit on Tuesday last week, with VIX even putting in a 2017 high, before resuming their downward trajectory.  Note TYVIX giving up 10% which puts the volatility of 10-Year Treasury Note options[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 25, 2017, 2:14 PM

    Weekend Review of Volatility Indexes and ETPs - 2/21 - 2/24

    Weekend Review of Volatility Indexes and ETPs - 2/21 - 2/24

    VIX was the only S&P 500 related volatility index that lost value last week.  VXST rose, probably getting a boost from coming off a long weekend.  The longer dated volatility indexes mirrored the action in longer dated VIX futures by moving to the upside.  April seems to be the next month of concern among volatility players with the pending election in France.  Other pockets of volatility are showing up in the table below.  SKEW finished the week near recent highs and[...]

  • VIX | Trader Talk | Trade Ideas | Feb 20, 2017, 7:30 PM

    Weekend Review of Volatility Indexes and ETPs - 2/13 - 2/17

    Weekend Review of Volatility Indexes and ETPs - 2/13 - 2/17

    VXST and VIX managed gains last week while the longer dated volatility indexes (VXV and VXMT) both lost value.  The curve created by charting out VXST, VIX, VXV, and VXMT has been steep for most of 2017 as the shorter dated indexes have been at very low levels.  The price action last week narrowed the angle to more normal levels.  Last week the S&P 500 was up just over 1.5% and VIX rose over 5%.  More on that after the table below.  I ran some numbers and this is[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 11:27 AM

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    There was a slight and uniform shift lower in the term structure of S&P 500 related volatility indexes last week.  One might say this is a case of all indexes not having much more room to drop.  An ETN I don’t mention too much was interesting to me this week.  VXZ was unchanged on the week as the longer end of the VIX futures curve was mixed.  TYVIX also rebounded a bit at concerns over interest rates had been trending lower.  The March Fed meeting concludes on[...]

  • 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[...]