VIX Archives - Cboe Blogs

  • Market News | Technical Analysis & Charts | VIX | Futures | May 16, 2016, 10:45 AM

    Weekly Market Outlook - On The Verge Of A Bigger Pullback?

    Weekly Market Outlook - On The Verge Of A Bigger Pullback?

    The market may have started the previous week on a bullish foot, but it certainly didn't end the week on one. Not only did the S&P 500 (SPX) (SPY) log three straight losing days to end last week's trading, but it broke below a key support level it couldn't really afford to break. Stocks still aren't past the point of no return yet, but it's alarmingly close. We'll dissect the odds below after running down last week's and this week's major economic headlines. Economic Data Not a lot of economic[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | May 15, 2016, 3:54 PM

    Weekend Review - VIX Options and Futures - 5/9 - 5/13

    Weekend Review - VIX Options and Futures - 5/9 - 5/13

    After starting the week off on a bullish note, the S&P 500 finished out down just over a half a percent for the week. VIX was up just a bit more than 2%, most likely being held back by weakness that was associated with the S&P 500 moving higher on Monday and Tuesday last week. The spread between the May VIX future and spot index is pretty narrow finishing Friday at less than a point. Not only did the spread between the May futures and spot VIX index narrow, but a portion of the curve actually[...]

  • 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[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 14, 2016, 5:14 PM

    Weekend Review - Russell 2000 Index and Volatility - 5/9 - 5/13

    Weekend Review - Russell 2000 Index and Volatility - 5/9 - 5/13

    According to some of the headlines I came across this week, stock market participants are worried about economic growth. This concern about growth showed up in the relative performance of the Russell 2000 (RUT) and Russell 1000 (RUI) this week as RUT was down twice as much as RUI (-1.10% versus -0.54%). This places RUT down a little less than 3% for the year and RUI precariously in the green by a single basis point. Concerns over growth continue to show up in the relationship between[...]

  • VIX | Education | Futures | May 13, 2016, 1:34 PM

    The Weekly Options News Roundup – 5/13/2016

    The Weekly Options News Roundup – 5/13/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets. VIX FIX – Tepid Volatility For weeks, market enthusiasts have braced themselves for a resurgence in volatility that has yet to materialize. The Dow Jones is ending the week slightly lower, while the CBOE Volatility Index continued to venture lower, dropping below the 14 level mid-week, before slightly rebounding[...]

  • 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 | VIX | Trader Talk | Futures | Strategy | Trade Ideas | May 7, 2016, 11:35 AM

    Weekend Review - VIX Options and Futures - 5/2 - 5/6

    Weekend Review - VIX Options and Futures - 5/2 - 5/6

    VIX dropped last week, with a big part of the drop coming Friday afternoon. Note the futures followed suit, but specifically note that the front month May future gave up a little more ground than spot VIX. This is sort of common when we have an employment number. Also note how flat the curve is from July through November – the theory is that the Fed is out of play between the conventions and the election which may result in relative calm for the financial markets. Late Thursday[...]

  • Weekend Review - Russell 2000 Options and Volatility - 5/2 - 5/6

    Weekend Review - Russell 2000 Options and Volatility - 5/2 - 5/6

    Small cap stocks get so close and then seem to fall back when reaching unchanged on the year or catching up with the performance of large cap stocks. This week the Russell 2000 (RUT) dropped 1.44% while the large cap focused Russell 1000 (RUI) lost 0.49%. This places RUT in the red by 1.86% for 2016 while RUI is still up 0.55%. With the underperformance of small cap stocks last week came a relative rise in the CBOE Russell 2000 Volatility Index (RVX). The RVX / VIX premium began the[...]

  • Market News | Trader Talk | Trade Ideas | May 1, 2016, 12:47 PM

    Weekend Review - VIX Options and Futures - 4/25 - 4/29

    Weekend Review - VIX Options and Futures - 4/25 - 4/29

    With the drop in the S&P 500 last week VIX rallied almost 20%. Contango was pretty steep going into the week so the front month May future gained just over 4% as the index played some catch up with the futures contract. The generic curve I create with the front five weeks of futures managed to shift higher, but also remain in a pretty steep angle. We have less than a year of data to work with, but so far flat is the most common shape for this curve. Only for the last few[...]

  • 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 | Trade Ideas | May 1, 2016, 9:24 AM

    Weekend Review - Russell 2000 Index and Volatility - 4/25 - 4/29

    Weekend Review - Russell 2000 Index and Volatility - 4/25 - 4/29

    Stocks had a tough week and the Russell 2000 (RUT) was down 1.4% on the week and took the small cap benchmark from positive to negative territory for 2016. Large cap stocks held up a bit better with the Russell 1000 (RUI) losing 1.26% and the large cap benchmark remains positive on the year by just over 1%. Even though RUT underperformed a bit, the CBOE Russell 2000 Volatility Index (RVX) premium to VIX dropped a bit and both volatility indexes climbed last week.  The RVX / VIX[...]

  • VIX | Education | Apr 27, 2016, 1:00 PM

    CBOE Hosting New Conference on Derivatives and Volatility

    CBOE Hosting New Conference on Derivatives and Volatility

    Over the past ten years or so VIX futures and options have been two of the fastest growing listed derivative markets in the world.  This has resulted in traders and investors paying more attention to market volatility than ever before.  It has also resulted in the dramatic expansion of academic research focused on volatility.  The combination of these two factors has led to a collaboration between the Financial Management Association and CBOE in the form of a new conference. [...]

  • VIX | Apr 25, 2016, 2:32 PM

    Open Interest for VIX Call Options Recently Topped 7.5 Million Contracts

    Open Interest for VIX Call Options Recently Topped 7.5 Million Contracts

    Last week the open interest for call options on the CBOE Volatility Index® (VIX®) surged to more than 7.5 million contacts (see chart below). In a recent article at Bloomberg.com, reporters Joseph Ciolli and Inyoung Hwang wrote – “Going long market turbulence has surged in popularity in the last nine weeks, with investors sending an unprecedented $3.2 billion into securities that reap gains from wider price swings. That pushed shares outstanding on exchange-traded notes[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 24, 2016, 7:05 PM

    Weekend Review - VIX Options and Futures - 4/18 - 4/22

    Weekend Review - VIX Options and Futures - 4/18 - 4/22

    VIX moved down and the curve shifted lower as well. This sort of comment had been leading off this blog more often than not for years. I’m just surprised I’m saying it during what was expected to be a transitional year from a low to high volatility regime. The only bearish feature below is how steep the curve is. A few more weeks in the 13’s and we’ll probably see a flattening of the curve. Late last week it was pointed out to me that the VIX had closed under[...]

  • 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[...]