TYVIX Archives - CBOE Blogs

  • Market News | Aug 21, 2015, 12:51 PM

    TYVIX Weekly Review: Will the FOMC Lift the Lid on the Federal Fund Target Rate?

    TYVIX Weekly Review: Will the FOMC Lift the Lid on the Federal Fund Target Rate?

      Federal Funds Target Rate and Treasury Volatility With 26 days left until the September 16th meeting of the Federal Reserve Open Market Committee, and signals for U.S. rates diverging amid continued China and Europe economic weakness, it is still uncertain whether the FOMC will lift the lid on the federal funds target rate (FFTR) on September 16 or later. The FOMC is concerned that a rate hike will stall the U.S. economy and market participants are concerned that a rate hike will depress Treasuries[...]

  • VIX | Aug 14, 2015, 2:40 PM

    TYVIX Weekly Review: Nothing Like a Yuan Devaluation to Invigorate Volatility

    TYVIX Weekly Review: Nothing Like a Yuan Devaluation to Invigorate Volatility

    After last week’s doldrums, the Chinese government’s surprise devaluation of the yuan breathed life into CBOE’s VIX Suite: VIX, TYVIX, EUVIX, BPVIX and JYVIX. Volatilities fluctuated as the events of the week unfolded – initially climbing on Tuesday when the devaluation occurred and prompted a number of analysts to suggest the Federal Reserve’s target rate increase could be deferred to next year. Volatilities in VIX and TYVIX subsided somewhat in midweek following mostly[...]

  • Market News | Education | Aug 7, 2015, 4:14 PM

    TYVIX Weekly Review: Is Fed Fatigue Setting In?

    TYVIX Weekly Review: Is Fed Fatigue Setting In?

      As market participants returned to the view this week that a September (rather than December) fed fund hike may be more likely, backed up in part by an as-expected U.S. July employment report on Friday, expected Treasury volatility measures through December 2015 decreased, but just barely. At week’s end, the TYVIX Index was still about 1 index point below its value at the beginning of July, as were futures on TYVIX.  This suggests the 10-Year Treasury market is indifferent to whether[...]

  • 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 | Education | Jul 31, 2015, 1:44 PM

    Volatility of VXTY Futures in an Illiquid Treasury Market

    Volatility of VXTY Futures in an Illiquid Treasury Market

    A recurring topic of discussion among market participants is how illiquid the Treasury market has become and what impact this will have on volatility.   In particular, there is concern over a possible repeat of the “flash crash” of October 15, 2014, when a surge of volume in the CME’s 10-year Treasury futures pushed down Treasury yields and added two index points to the TYVIX Index in the course of 15 minutes. Figure 1. TYVIX on October 15, 2014  From the point of[...]

  • Market News | VIX | Jul 24, 2015, 3:00 PM

    The Weekly Options News Roundup – 7/24/2015

    The Weekly Options News Roundup – 7/24/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. A 24/7 VIX? VIX futures are available for trading nearly 24 hours a day….is it time for the VIX Index to be calculated around the clock? “The Case for a 24-Hour VIX” – Steven M. Sears, Barron’s http://on.barrons.com/1JfHYle VIX Futures Weeklys Are Here The CBOE Futures Exchange (CFE) launched[...]

  • Market News | Jul 24, 2015, 2:17 PM

    TYVIX Weekly Review – 7/24/2015

    TYVIX Weekly Review – 7/24/2015

    A Lull in Volatility This week there was a pause in the “Euro ex-Greece” crisis and the plunge in Shanghai stock prices. In addition, Federal Reserve Chair Janet Yellen told Congress in her semi-annual testimony last week that the first Fed Fund target rate increase will come in 2015, and this week’s economic calendar was light. No wonder there was a lull in volatility. TYVIX, CBOE’s real-time benchmark for Treasury volatility, decreased to 5.37 from 6.69 last Friday, which[...]

  • Market News | Jul 18, 2015, 6:30 PM

    TYVIX Weekly Review by Catherine Shalen - 7/18/2015

    TYVIX Weekly Review by Catherine Shalen - 7/18/2015

    TYVIX in the Aftermath of the October 15, 2014 Flash Crash On Monday, July 13, staff members from the U.S. Department of Treasury, the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, the U.S. Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission released a joint report on the exceptional Treasury volatility that occurred on October 15, 2014. The behavior of the TYVIX Index since October 2015 provides a new angle to the story.[...]

  • 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 | VIX | Trader Talk | Futures | Jul 11, 2015, 1:20 PM

    TYVIX Weekly Review - 7/11/2015 by Catherine Shalen

    TYVIX Weekly Review - 7/11/2015 by Catherine Shalen

    Every day Brings a New Twist to TYVIX, Benchmark for Treasury Volatility The referendum in Greece on Sunday was a non-event for Treasury volatility. TYVIX opened at 6.70 on Monday, 1.82% above its closing value on July 2nd, but by 10:30, TYVIX was back to 6.58. Equity and FX volatilities were more reactive. VIX opened 11.08% higher, EUVIX 6.71% higher, JYVIX 5.74% higher and BPVIX 3.32% higher. After this open, Treasury prices began a rally which lasted until Thursday, as investors responded to[...]

  • Market News | VIX | Trader Talk | Education | Futures | Jul 11, 2015, 12:37 PM

    The Week in Volatility Indexes and ETPs - 7/6 - 7/10

    The Week in Volatility Indexes and ETPs - 7/6 - 7/10

    From the pre-Independence day July 2nd close to this past Friday VXST was down 0.73, VIX was up by 0.04, VXV was 0.05 higher and VXMT finished 0.28 higher. VXST is sort of an anomaly as there is a 3-day weekend impact that pushes the index lower. As the week over week change does no justice in showing the actual price action from last week I included the Thursday closing curve to show that last week was anything but boring. Note on the table below both VXX (and the similar funds) and SVXY (plus[...]

  • Market News | Jul 6, 2015, 8:25 AM

    The Weekly Options News Roundup - Holiday Week Edition

    The Weekly Options News Roundup - Holiday Week Edition

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. Watch VIX and TYVIX as Uncertainty in Europe Grows Greece’s debt crisis has Jon Najarian keeping an eye on two key volatility indexes. The VIX Index, a measure of the S&P 500 and the TYVIX Index, a measure 10-year Treasury Notes, can both be used to monitor volatility as a potential exit of Greece from the[...]

  • Market News | VIX | Trader Talk | Jun 29, 2015, 5:08 PM

    Five Volatility Indexes Rose More Than 30% Today, As Worldwide Stocks and Oil Prices Fell on News Out of Greece

    Five Volatility Indexes Rose More Than 30% Today, As Worldwide Stocks and Oil Prices Fell on News Out of Greece

    In the past couple of days, news out of Greece regarding capital capital controls and bank closings had a worldwide negative impact on stock and oil prices, while five of CBOE’s volatility indexes rose more than 30%, and volume in VIX futures soared to an estimated 415,000 contracts. After news about the closures of Greek banks broke over the weekend, VIX futures volume in the 5 pm (Sunday) to 2 am CT session was a record 32,617 (estimated) contracts, an all-time record for that time period. Investors[...]

  • Market News | VIX | Blogging Options | Jun 26, 2015, 1:50 PM

    The Weekly Options News Roundup – 6/26/2015

    The Weekly Options News Roundup – 6/26/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. Stock Market Less Volatile; Bonds, Not So Much The overall market has seen little volatility over the past few months, but bonds have been on a turbulent ride.  The CBOE/CBOT 10-Year Treasury Note Volatility Index (TYVIX) can help navigate the volatility in bonds, as explained by CBOE’s Research Director[...]

  • Market News | Jun 13, 2015, 11:30 AM

    The Week in Volatility Indexes and ETPs - 6/8 - 6/12

    The Week in Volatility Indexes and ETPs - 6/8 - 6/12

    The curve shift shown below kind of looks like the June 12th line is taking a swipe at the June 5th line with VXST throwing the punch.  Short term volatility climbed Friday relative to the other volatility measures and the result was a pretty interesting and possibly worrisome change in the VXST – VIX – VXV – VXMT curve.  Time will tell, but VXST at a premium to VIX usually is a result of a market drop or market participants having short term concerns about the equity[...]