SVXY Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jun 25, 2016, 1:12 PM

    Weekend Review - Volatility Indexes and ETPs - 6/20 - 6/24

    Weekend Review - Volatility Indexes and ETPs - 6/20 - 6/24

    Global stocks took it on the chin Friday after the outcome for the vote in Britain determined that the majority of voters want to break from the European Union. Usually I show the week over week change for VXST, VIX, VXV, and VXMT to lead off this blog. Because the week over week change doesn’t tell the full story I included the closing prices from Thursday as well. The lowest line on the chart shows the closing levels for each of these S&P 500 oriented volatility indexes the day before[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Jun 22, 2016, 1:53 PM

    Taking Apples from Somewhere Near the Top of the Tree

    Taking Apples from Somewhere Near the Top of the Tree

    The best way to tell a story (well, maybe not always) is to tell it in the order in which it happened. In this case, I'll start where I left off, and that means to describe the mystery position I took at the end of the last post. I made mention of it, but did not divulge it. It turns out I opened and closed that position all on the same day, so that by the time my last article went to press, it was already in the can. Here's the rundown for my June 3rd open/shut: Pictorial illustration of the entry[...]

  • Weekend Review - Volatility Indexes and ETPs - 6/13 - 6/17

    Weekend Review - Volatility Indexes and ETPs - 6/13 - 6/17

    The VXST – VIX – VXV – VXMT curve moved from contango to an unusual shape this past week. Lots of things point to the markets being concerned about next week’s ‘should I stay or should I go’ vote in Britain. VXST represents short term SPX option volatility and the options that expire just after the vote are feeding that calculation.  I’m going to say results in VXST finishing the week at such an elevated level last week have a little to do with Brexit. With[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 11, 2016, 12:23 PM

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

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

    Last week VIX rose every day which isn’t all that unusual.   What was ground breaking was that VIX rose each of the first three days last week despite the S&P 500 moving up as well. I decided to take a look at what has happened in the past when both the S&P 500 and VIX rise together for three consecutive days. The result, it's not as uncommon as I thought, we've had 17 occurrences of three up together.  However, the last time was in January 2013. VVIX[...]

  • VIX | Trader Talk | Trade Ideas | Jun 7, 2016, 2:41 PM

    Plans are Meant for Re-Planning

    Plans are Meant for Re-Planning

    At my last writing on Tuesday, May 17th, I had just sold to open SVXY 55.50 puts for the May 20th expiration at 1.45 per contract.  My pledge was to stick to my plan and that's what I did:  I let those expire and realized full profit over the weekend when the contract expired worthless to the buyer.  It was rough going, though, with the high, low, and close of SVXY over the intervening days as shown below:   SVXY's closing price on Friday, May 20th was over $55.50,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 5, 2016, 1:55 PM

    Weekend Review - Volatility Indexes and ETPs - 5/31 - 6/3

    Weekend Review - Volatility Indexes and ETPs - 5/31 - 6/3

    The whole curve shifted a bit higher last week. We have to attribute the rise to the three-day weekend effect. At least in the case of VXST and VIX. Typically, VXV and VXMT are not impacted as much as the shorter dated volatility indexes. I might attribute the rise of longer dated volatility to the expected date for the next rate hike being pushed down the road. Despite the rise in VIX last week, the long volatility oriented ETPs were lower on the week. This is a function of the futures[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 29, 2016, 9:26 AM

    Weekend Review - Volatility Indexes and ETPs - 5/23 - 5/27

    Weekend Review - Volatility Indexes and ETPs - 5/23 - 5/27

    The S&P 500 rally along with the three-day weekend effect pushed VXST to finish Friday below 10.00 for the first time since July of last year. The VXST - VIX - VXV - VXMT curve moved lower and steepened a bit based on the calendar and the strength in the market. Looking at the table below it is like several indexes and instruments are playing limbo seeing how low they can go. VXX and the unleveraged long ETPs lost 10% while the leveraged funds gave up almost 20%. Check[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 21, 2016, 12:47 PM

    Weekend Review - Volatility Indexes and ETPs - 5/16 - 5/20

    Weekend Review - Volatility Indexes and ETPs - 5/16 - 5/20

    With the S&P 500 zig zagging this week, but finishing up by just over a quarter of one percent the curve was little changed. With one exception, VXST dropped 10% after we got past the FOMC minutes and the markets started to look forward to nothing for the next couple of weeks. VIX and VXMT rose and VXV was lower. I can’t remember the curve shifting like this ever, but since three out of the four moves were pretty small I wouldn’t read too much into it. The long VIX related[...]

  • Market News | May 17, 2016, 1:46 PM

    Rinse and Repeat

    Rinse and Repeat

    At my last writing on Monday, May 9th, my position was ten short SVXY puts for the March 13th expiration at the 54 strike, sold at $1.40 per contract, or $1,385.20 received.  My choices in disposing of the position (or allowing it to be disposed for me) was to either buy these puts back before Friday or allow the contracts to expire and accept assignment of shares at $54, should conditions dictate. On Tuesday, May 10th at 9:40 AM, I noticed that SVXY opened above $56 and, not knowing what would[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 15, 2016, 2:09 PM

    Weekend Review - Volatility Indexes and ETPs - 5/9 - 5/13

    Weekend Review - Volatility Indexes and ETPs - 5/9 - 5/13

    There was a slight twist in the VXST – VIX – VXV – VXMT curve last week as the shorter dated indexes rose and the two long dated indexes dropped slightly. Although unusual, I am not reading too much into this as the curve was already pretty steep and remains so after relatively small changes across the board last week. While updating the numbers below the first thing that stood out to me was the continued elevated level of VVIX. With VIX up a bit, but still in the 15’s[...]

  • Technical Analysis & Charts | VIX | Trader Talk | May 10, 2016, 6:40 PM

    A Walk Through the Maze

    A Walk Through the Maze

    Let's detail a story of the last two weeks, in which I stumbled through a maze in search of the reward at the other end.  I've made some wrong turns and backtracked a few times, but I think I smell the cheese ever stronger, ever closer to me, right around the next corner. On April 28th I started with nothing but an idea, so I set it in motion as such:  With SVXY trading at $56.63 the moment I spied it, I sold ten SVXY 56 strike puts for the May 6th (six trading days away) expiration for[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 8, 2016, 1:09 PM

    Weekend Review - Volatility Indexes and ETPs - 5/2 - 5/6

    Weekend Review - Volatility Indexes and ETPs - 5/2 - 5/6

    The S&P 500 was down 0.44% last week which places the index up only 0.65% for the year. Three out of the four S&P 500 focused volatility indexes were also lower last week, despite the drop in the S&P 500. I find the longer end of the curve holding up like it has for most of 2016 interesting as well as worrisome, at least if you are bullish on stocks. In the ETP space VXX was down by 5.11% and UVXY lost a little over twice as much at VXX. SVXY put up a decent week gaining[...]

  • Market News | Trader Talk | Futures | Trade Ideas | May 1, 2016, 11:30 AM

    Weekend Review - Volatility Indexes and ETPs - 4/25 - 4/29

    Weekend Review - Volatility Indexes and ETPs - 4/25 - 4/29

    The weakness in the S&P 500 last week, although not really dramatic, did result in pretty big moves out of the four S&P 500 related volatility indexes. They were coming off pretty low levels which attributes to the large moves, at least on a percentage basis. The curve remains steep, which indicates the market remains concerned about whether stocks can move to the upside this year. On the table below VVIX continues to stand out finishing the week over 90.00. Two weeks ago TYVIX[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 24, 2016, 3:44 PM

    Weekend Review - Volatility Indexes and ETPs - 4/18 - 4/22

    Weekend Review - Volatility Indexes and ETPs - 4/18 - 4/22

    Very quiet weeks, like last week, usually result in a slight shift lower in the VXST – VIX – VXV – VXMT curve. Contango persists and it worked its magic on SVXY, VXX, and UVXY last week. SVXY had a good week rising over 5% while VXX gave up just about the same amount and UVXY lost over 11%. Note VVIX is remaining at relatively high levels as is SKEW.   For the year SVXY is up about 7%, VXX has lost 21% and UVXY is down 45% (after being up over 100% back in February). SVXY[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Apr 9, 2016, 3:15 PM

    Weekend Review - Volatility Indexes and ETPs - 4/4 - 4/8

    Weekend Review - Volatility Indexes and ETPs - 4/4 - 4/8

    The S&P 500 lost a little over 1.2% last week, but the impact on volatility indexes was more than one would expect from loss like that for the S&P 500. Most significant to me was that both the 3-month (VXV) and 6-month (VXMT) S&P 500 oriented volatility indexes returned to average 2015 levels. This was something I was a bit obsessed with to begin 2016. The shorter end of the curve is still below last year’s average, but a few more weeks like last week and we will be right back to[...]