TYVIX Archives - Cboe Blogs

  • Market News | Jun 12, 2015, 2:54 PM

    The Weekly Options News Roundup – 6/12/2015

    The Weekly Options News Roundup – 6/12/2015

    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. Bracing for Volatility While volatility continues to rattle the bond and currency markets (see TYVIX Index), options traders believe it’s a matter of ‘when’ -- not ‘if’ -- volatility returns to equities.  Traders are moving to establish hedges in anticipation of higher volatility[...]

  • Market News | VIX | Trader Talk | Futures | Jun 6, 2015, 11:04 AM

    The Week in Volatility Indexes and ETPs - 6/1 - 6/5

    The Week in Volatility Indexes and ETPs - 6/1 - 6/5

    The market digested the May Non-Farm Payroll number on Friday with both (weak) bullish and bearish cases being made for equities. I was asked about the number and my very non-quantitative response was to point to a tweet from Benzinga which depicted a guy just shrugging and looking bored. The week was pretty similar with the S&P 500 dropping 0.69% and all four of the volatility indexes in the term structure chart below moving higher, but by less than 4% across the board. The bond market was[...]

  • Market News | VIX | Jun 5, 2015, 3:00 PM

    The Weekly Options News Roundup – 6/05/2015

    The Weekly Options News Roundup – 6/05/2015

    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. CBOE and LiveVol: Technological Leaders Unite Earlier this week, CBOE announced the acquisition of Livevol, a technological leader in market data services and the trading analytics space.   The synergies between the two entities will provide customers with greater access to data analytics supporting products[...]

  • VIX | Blogging Options | Trader Talk | Jun 5, 2015, 12:20 PM

    CBOE Mid-Day Update 6.5.15

    CBOE Mid-Day Update 6.5.15

    Volatility as an asset class Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 93c to $49.69 on May nonfarm payrolls rise 280K and May Unemployment at 5.5%. 6/12/15 call option implied volatility is at 30, June is at 32, September is at 33; compared to its 52-week range of 18 to 35. IShares Barclay 20+ YR Treasury ETF (TLT) is recently down $1.25 to $117.80. 6/12/15 call option implied volatility is at 15, June and July is at 16; compared to its 52-week range of 9 to 18. Wal-Mart[...]

  • VIX | Blogging Options | Trader Talk | Jun 3, 2015, 12:43 PM

    CBOE Mid-Day Update 6.3.15

    CBOE Mid-Day Update 6.3.15

    Volatility as an asset class Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up $1.35 to $50.08 as traders react to expectations of the FOMC raising rates. June weekly call option implied volatility is at 42, June is at 34, September is at 33; compared to its 52-week range of 18 to 35. IShares Barclay 20+ YR Treasury ETF volatility elevated (TLT) is recently down $1.94 to $117.48.  June weekly call option implied volatility is at 21, June is at 17, July is at 16; compared to[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 30, 2015, 11:51 AM

    The Week in Volatility Indexes and ETPs - 5/26 - 5/29

    The Week in Volatility Indexes and ETPs - 5/26 - 5/29

    Short term volatility rose last week based on stock market action and some impact from the holiday weekend. VXST’s 42% rise is partially attributed to the three day weekend being behind us and we can probably give a little credit to the day off Monday for the 14% rise in VIX. The issue that has nothing to do with the four day work week is the shape of the curve below which shows VXST is basically in line with VIX as of Friday's close. This is an indication that[...]

  • VIX | Blogging Options | Trader Talk | May 28, 2015, 12:07 PM

    CBOE Mid-Day Update 5.28.15

    CBOE Mid-Day Update 5.28.15

    Volatility as an asset class Popeyes (PLKI) is recently down 56c to $57.48 after reporting better than expected Q1 EPS on less than expected revenue. June call option implied volatility is at 29, July is at 28, August is at 30; compared to its 52-week range of 23-47. Abercrombie & Fitch (ANF) is recently up to $2.25 to $21.90 after reporting less than expected Q1 revenue and outlook and says SSS trend has continued to improve in May. June call option implied volatility is at 38, July is at 34,[...]

  • Market News | VIX | Trader Talk | Futures | May 16, 2015, 2:31 PM

    The Week in Volatility Indexes and ETPs - 5/11 - 5/15

    The Week in Volatility Indexes and ETPs - 5/11 - 5/15

    There was a slight shift in the VXST – VIX – VXV – VXMT term structure last week. VXST and VIX were down, VXV was actually up slightly and VXMT dropped. Relative to history, VXV and VXMT are higher than you would expect with the S&P 500 making all-time highs. I’m convinced the market is braced for a difficult end to 2015. VXX and the other long oriented ETPs continue to grind lower as VIX stays at low levels and the futures maintain contango. SKEW stands out[...]

  • Market News | VIX | Trader Talk | Strategy | May 10, 2015, 9:36 AM

    The Week in Volatility Indexes and ETPs - 5/4 - 5/8

    The Week in Volatility Indexes and ETPs - 5/4 - 5/8

    Despite a dip midweek, the S&P 500 recovered to put up a winning week on the heels of the non-farm payrolls report. Friday’s 28 point rally salvaged weekly performance, but this was not enough to push VIX to a week over week loss.  Since January 1990 there have been 178 weeks where the S&P 500 and VIX were both higher. I ran some quick numbers and of those 178 weeks, the S&P 500 was higher the 102 times and lower the other 76 weeks after both moved higher in sync. I was a little[...]

  • Education | May 6, 2015, 5:28 PM

    TYVIX Index, Measure of Interest-Rate Volatility, Rises for the 8th Day in a Row

    TYVIX Index, Measure of Interest-Rate Volatility, Rises for the 8th Day in a Row

    The CBOE/CBOT 10-year U.S. Treasury Note Volatility Index℠ (with a new ticker symbol: TYVIX℠ rose today (Wednesday) for the 8th trading day in a row. TYVIX measures the expected volatility of the price of 10-year Treasury Note futures. TYVIX futures also are available for investors. As shown in the charts below, since April 24, the daily closing values of the TYVIX Index rose from 4.89 to 6.53 (a 34% rise) and the interest rates on the 10-year U.S. Treasury notes rose from 1.91% to 2.23%[...]