• Market News | VIX | Trader Talk | Trade Ideas | Sep 24, 2016, 5:05 PM

    Weekend Review - Volatility Indexes and ETPs - 9/19 - 9/23

    Weekend Review - Volatility Indexes and ETPs - 9/19 - 9/23

    Janet Yellen spoke and volatility dropped.  I wonder if she's the kind of guest that shows up and ruins parties like she dampens any moves in S&P 500 volatility. The table below has a ton of red, as would be expected following a week where VIX drops about 20%.  I did field a question on Friday regarding last week's drop in the context of history and it ranks in about the top 50 week over week drops out of 1400 weekly observations.  VVIX continues to be resilient.  In[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 18, 2016, 7:25 AM

    Weekend Review - Volatility Indexes and ETPs - 9/12 - 9/16

    Weekend Review - Volatility Indexes and ETPs - 9/12 - 9/16

    After a lot of zigging and zagging VIX and the other S&P 500 related volatility indexes finished lower on a week over week basis.  The curve depicting the relationship among VXST, VIX, VXV, and VXMT even returned to a historically normally shape. I found VVIX remaining over 100 interesting despite last week's drop in VIX.  Also, the drop in TYVIX is noteworthy as it occurred in front of a week where we get a Fed decision. In the exchange traded product space the long funds[...]

  • VIX | Sep 17, 2016, 10:09 AM

    Back to VIX Specials

    Back to VIX Specials

    Summer didn't draw to a close without telling us it was doing so.  If any VIX-watchers were sleeping, they're awake now. Most of the summer seemed flat and long as a football field, and while that should've been easy, I made it difficult for myself by trying from July 19th onward to profit from something that simply wasn't happening just because I wished it and staked it out repeatedly:  The return of any kind of volatility or at least the end of the silent, somnolent, stubbornly-immobile[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 10, 2016, 2:17 PM

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

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

    VXST more than doubled as a function of the index being depressed in front of the three-day weekend and then in reaction to Friday’s SPX sell off.  As would be expected, the rest of the VXST-VIX-VXV-VXMT curve moved higher as well, but outside of VXST relative to VIX we are still in a state of contango. The 2.39% drop in the S&P 500 all came from Friday’s price action as did just about everything else on the table below.  Note that VXX rose 11% and UVXY gained[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 7:30 PM

    Weekend Review - Volatility Indexes and ETPs - 8/22 - 8/26

    Weekend Review - Volatility Indexes and ETPs - 8/22 - 8/26

    The short end of the VXST – VIX – VXV – VXMT curve rose last week as volatility moved higher in reaction to comments coming from the annual get together in Jackson Hole.  The result is a bit less steepness in a curve that has been pretty darn steep the past few weeks. The long volatility funds got a small reprieve from the severe downtrend in performance that has been in place since the first quarter. SVXY gave up some performance last week and VXX along with[...]

  • VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 11:08 AM

    Happy VIX-entines Day

    Happy VIX-entines Day

    The funniest part of my last post was the quote from my last sentence, "...VIX, which I doubt will stay the same every minute from here on out..." because it has basically stayed right where it was at the time of that writing more than a month ago.  Spanning 11-13 that day set the tone for the next month, since that's all it's done ever since (with the exception of a toe dipped in 14 yesterday), for the next 25 trading days. (*And excepting today as I've been sitting here writing this,[...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Aug 20, 2016, 2:00 PM

    Weekend Review - Volatility Indexes and ETPs - 8/15 - 8/19

    Weekend Review - Volatility Indexes and ETPs - 8/15 - 8/19

    For the second week in a row the S&P 500 Index related volatility indexes hardly budged. Three out of four were lower with the longest dated, VXMT, up slightly on the week. We’ve ranted and raved in various forums about how VVIX has been holding up despite a lower VIX. It was kind of like the last holdout for higher equity market related volatility until this past week when it took a 12% dive.  This puts VVIX closer to the lower end of the historical range. I guess[...]

  • Market News | Aug 13, 2016, 9:45 PM

    Weekend Review - Volatility Indexes and ETPs - 8/8 - 8/12

    Weekend Review - Volatility Indexes and ETPs - 8/8 - 8/12

    I considered skipping the first chart in this blog since the four S&P 500 related volatility indexes didn't move much last week.  The only thing to note here is that the shorter dated end did rise a bit more than the long end, but the curve remains fairly steep. Despite the fairly quiet week, VVIX rose to the mid-90's.  I'm hearing a mix of reasons which fall into two camps.  One - with steep contango put buyers are coming into the market to take advantage of the futures[...]

  • Market News | Aug 6, 2016, 4:00 PM

    Weekend Review - Volatility Indexes and ETPs - 8/1 - 8/5

    Weekend Review - Volatility Indexes and ETPs - 8/1 - 8/5

    When S&P 500 implied volatility is already low there’s not much room for a further drop.  That was the case going into this past week and as seen below with the S&P 500 climbing all four of the S&P 500 related volatility indexes were lower, but not by much. VVIX in the mid 80’s remains high, but believe it or not that may reflect VIX Put buying instead of VIX Call purchasing.  Demand for puts on any VIX strength or to take advantage of steep contango[...]

  • VIX | Trader Talk | Education | Trade Ideas | Aug 3, 2016, 11:25 AM

    CBOE Options Institute Class to Focus on VIX and Volatility

    CBOE Options Institute Class to Focus on VIX and Volatility

    The CBOE Options Institute is hosting the first in a series of classes that will focus on different aspects of option and volatility trading. The first class, appropriately named Focus on VIX and Volatility Products, will be held on Friday August 19th at CBOE. For those unable to make it to Chicago the class is also available online. Specific topics to be covered include VIX and the behavior of volatility indexes VIX futures and options price behavior Trading VIX related Exchange Traded Products Long,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 31, 2016, 7:56 PM

    Weekend Review - Volatility Indexes and ETPs - 7/25 - 7/29

    Weekend Review - Volatility Indexes and ETPs - 7/25 - 7/29

    It was as quiet a week as I can remember with respect to the S&P 500 focused volatility indexes.  An quieter and the lines below would look like a single line. The long ETPs really suffered last week as we entered the week in very steep contango when comparing VIX with the August and September futures.  Of course what is bad for VXX is good for XIV and SVXY which both rose over 9% and up over 30% on the year.  VVIX actually rose a tad last week as well as VIX option[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 24, 2016, 6:12 PM

    Weekend Review - Volatility Indexes and ETPs - 7/18/2016 - 7/22/2016

    Weekend Review - Volatility Indexes and ETPs - 7/18/2016 - 7/22/2016

    VIX was the biggest mover among the four S&P 500 related volatility indexes this past week.  VIX dropped more than 5% while VXST lost 0.39% and VXV was down 1.19%.  Longer dated volatility actually rose last week with VXMT gaining 0.28%.  The curve remains very steep which I’m taking as uncertainty abounding with respect to the balance of 2016, especial the fourth quarter of 2016. Most the data points on the table below are as one would expect after a relatively[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 16, 2016, 12:00 PM

    Weekend Review - Volatility Indexes and ETPs - 7/11 - 7/15

    Weekend Review - Volatility Indexes and ETPs - 7/11 - 7/15

    Short term volatility was the big loser among the four S&P 500 related volatility indexes as VXST lost over 10% last week.  This was more than two times the drop in VIX and more than three times the drop in VXV and VXMT.  The result is a pretty darn steep curve indicating concerns about the second half of this year for the stock market are lurking around in option volatility. Despite the drop in VIX the VIX of VIX rose last week.  As I typed that I realized that two[...]

  • VIX | Trader Talk | Trade Ideas | Jul 16, 2016, 7:36 AM

    Baseball, hot dogs, apple pie, and...VIX shortcake

    Baseball, hot dogs, apple pie, and...VIX shortcake

    If you can't wear shorts in the summer, when can you?  At the time of my last writing, I was showing off a pair:  TVIX and UVXY, which everyone knows are really just two legs of the same thing (for my purposes, anyway).  Even though I had donned one leg before the other (I put my pants on one leg at a time, just like everyone else), I took them both off in one motion, as such: But only one day later, my thoughts were consumed in the following manner: From WikiHow's "How[...]

  • 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[...]

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