• VIX | Education | Strategy | Trade Ideas | Aug 2, 2015, 5:17 PM

    July: Tricky by Anyone's Standards

    July:  Tricky by Anyone's Standards

    Editors note – we would like to welcome Meredith Kelley Zidek as a new contributor to the CBOE Options Hub.  Meredith is a private investor whose interests include equities, options, and commodities.  She began trading equities in 2007, and since then has cultivated interests in corn, energy, and most recently, index and equity options. Almost all of her trading, which can be seen on grapestrades.blogspot.com, involves short options on volatility-related instruments.  She studies[...]

  • Education | Strategy | Trade Ideas | Jul 15, 2015, 4:01 PM

    Trade Analysis - Selling $SVXY Puts

    Trade Analysis - Selling $SVXY Puts

    Editors note - we would like to welcome Meredith Kelley Zidek as a new contributor to the CBOE Options Hub.  Meredith is a private investor whose interests include equities, options, and commodities.  She began trading equities in 2007, and since then has cultivated interests in corn, energy, and most recently, index and equity options. Almost all of her trading, which can be seen on grapestrades.blogspot.com, involves short options on volatility-related instruments.  She studies the[...]

  • Market News | Jul 4, 2015, 8:59 AM

    The Week in Volatility Indexes and ETPs - 6/29 - 7/2

    The Week in Volatility Indexes and ETPs - 6/29 - 7/2

    We had the most exciting market action during the holiday shortened week. As everyone knows we can thanks the cradle of civilization Greece for all the hub bub. On Monday the S&P 500 was down over 2% for the first time since October of last year. VIX reacted accordingly by rising over 34% on the day for the biggest one day move in over two years. Despite the S&P 500 rebounding a bit, the VXST – VIX – VXV – VXMT curve continues to signal some concern. The VXST to VIX premium[...]

  • Market News | VIX | Trader Talk | Futures | Jun 27, 2015, 9:41 AM

    The Week in Volatility Indexes and ETPs - 6/22 - 6/26

    The Week in Volatility Indexes and ETPs - 6/22 - 6/26

    VIX rose less than one half one percent last week as the S&P 500 was down slightly. I would normally say there was not much change in risk perception for the broad US stock market, but that seems to be only true at the 30-day time horizon.   Note the VXST – VIX – VXV – VXMT term structure chart below shows a rise in VXST (9-day), but also a drop in VXV (3-month) and VXMT (6-month) last week. It may just be that despite the continued pushing out of the problems related[...]

  • VIX | Trader Talk | Education | Futures | May 24, 2015, 12:32 PM

    The Week in Volatility Indexes and ETPs - 5/18 - 5/22

    The Week in Volatility Indexes and ETPs - 5/18 - 5/22

    The S&P 500 moved up a little last week and the volatility curve moved lower. On the shorter dated end of the volatility term structure chart, there was the three day weekend effect which helped push VXST and VIX a tad bit lower than would be expected in front of a normal two day weekend. Just for the heck of it, I took a look at the curve 52 weeks ago and added it to the diagram below. I expected the 2015 pre-Memorial Day weekend curve to be higher than the 2014 version, but was surprised at[...]

  • Market News | VIX | Trader Talk | Strategy | Apr 11, 2015, 10:14 AM

    The Week in Volatility Indexes and ETPs - 4/6 - 4/10

    The Week in Volatility Indexes and ETPs - 4/6 - 4/10

    Last week the S&P 500 was strong and volatility indexes were weak. I have been focusing on where the VXST – VIX – VXV – VXMT term structure curve has been in 2015 compared to the averages last year. For the first time in a while VXV dipped below the 2014 average with only 6 month SPX implied volatility still higher than the 2014 average so there may still be a little long term concern about the equity markets looming. Over the near term VXST under 10 and VIX back to the tweens[...]

  • Market News | VIX | Trader Talk | Strategy | Mar 21, 2015, 2:48 PM

    The Week in Volatility Indexes and ETPs - 3/16 - 3/20

    The Week in Volatility Indexes and ETPs - 3/16 - 3/20

    I’m repeating the alteration I did last week to the term structure chart below. Instead of a week over week comparison I show the closing levels for VXST, VIX, VXV, and VXMT relative to the average levels in 2014. Note that near term volatility has thrown in the towel, but concern about a potential downturn for the equity market persists in the three and six month time frames.  Longer dated volatility is still elevated, despite dropping last week in sync with VXST and VIX. A 2.66% rally[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Dec 13, 2014, 9:25 AM

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

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

    The VXST – VIX – VXV – VXMT curve shift was the most dramatic change I have seen since writing these blogs. Of course VXST is just a little over a year old so there’s not too much history for comparison. I am more intrigued by the right side of the curve with VXV and VXMT in the 20’s. As a reminder VXV is a 3 month version of VIX and VXMT measures 6 month implied volatility. Those two indexes moving above 20 and in line with VIX indicate some real concern for the S&P[...]

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