VIX Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Apr 19, 2016, 12:55 PM

    Huge 1 x 2 VIX Call Spread Rolled Today

    Huge 1 x 2 VIX Call Spread Rolled Today

    Things are relatively quiet today with the S&P 500 topping 2100 for the first time in months and then losing its grip on that round number. However, despite the relative quiet a big trade hit the VIX pit just before lunch time that has traders talking. There were four legs to the trade, which turned out to be a large volatility player rolling a position from May to July. I have no idea what they have against June. A May spread was exited – Sell 82,129 VIX May 23 Calls at 0.43 + Buy 164,242[...]

  • Market News | Technical Analysis & Charts | VIX | Trader Talk | Apr 18, 2016, 11:52 AM

    Checking in on Overnight VIX Action

    Checking in on Overnight VIX Action

    Last Friday CBOE began disseminating spot VIX quotes during what we lovingly call the Extended Hours Session (ETH). The first quote for VIX on April 15th occurred at 2:15 am Chicago time. I was elsewhere Friday but I did check the data periodically and everything seemed to be running smoothly. I’m back at work today so I decided to take a look at how VIX did relative to the S&P 500 futures market from 2:15 am to 8:15 am Chicago time, looking at the price every 5 minutes. At 8:15 am the[...]

  • Market News | Apr 17, 2016, 5:49 PM

    Weekend Review - VIX Options and Futures - 4/11 - 4/15

    Weekend Review - VIX Options and Futures - 4/11 - 4/15

    VIX fell to 13.62 as the S&P 500 put up some gains last week. The curve shifted lower, but is steep, even the expiring April contract finished the week at about a 1.50 premium to spot VIX.   I noticed that the S&P 500 was higher than the close two weeks ago and VIX was higher as well. This is something many traders take a look at and may consider it a non-confirmation of the recent rally. Let’s see this coming week if the 13.00 low in VIX for 2016 holds on any equity[...]

  • Weekend Review - Russell 2000 Options and Volatility - 4/11 - 4/15

    Weekend Review - Russell 2000 Options and Volatility - 4/11 - 4/15

    One of my favorite books when I was a wee lad was “The Little Engine That Could”. When I see the Russell 2000 (RUT) coming very close to going from red to green on the year that story pops in my mind as I personify RUT saying, “I think I can” with the small cap benchmark approaching unchanged on the year. Last week RUT was up by 3% which places the index just 44 basis points in the red for 2016. Pretty impressive for an index that was down as much as 16% on the year.[...]

  • Market News | Apr 10, 2016, 1:00 PM

    The Weekly Options News Roundup - 4/8/2016

    The Weekly Options News Roundup - 4/8/2016

    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 – Volatility Stands By, Bye, Buy Markets retreated this week, coming off of their March gains. The VIX Index spiked to 16.70 on Thursday, before leveling out at 15.36 on Friday. As the VIX Index trends lower this month, some investors are using VIX to pack their portfolios with protection, predicting[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 10, 2016, 7:51 AM

    Weekend Review - VIX Futures and Options - 4/4 - 4/8

    Weekend Review - VIX Futures and Options - 4/4 - 4/8

    A week ago Thursday I was in Arizona speaking to an investment club and was asked if VIX would hit the 12’s anytime soon. I said I didn’t think so and the following day VIX came within a penny of a 12 handle. This week I was spared a trip to the wall of shame as VIX worked 17% higher to finish at 15.36. The futures were at a nice premium before this week so the front month April contract, which expires on the open April 20th, rose only 8% as the curve flattened slightly after spending[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Apr 9, 2016, 3:15 PM

    Weekend Review - Volatility Indexes and ETPs - 4/4 - 4/8

    Weekend Review - Volatility Indexes and ETPs - 4/4 - 4/8

    The S&P 500 lost a little over 1.2% last week, but the impact on volatility indexes was more than one would expect from loss like that for the S&P 500. Most significant to me was that both the 3-month (VXV) and 6-month (VXMT) S&P 500 oriented volatility indexes returned to average 2015 levels. This was something I was a bit obsessed with to begin 2016. The shorter end of the curve is still below last year’s average, but a few more weeks like last week and we will be right back to[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Apr 9, 2016, 8:30 AM

    Weekend Review - Russell 2000 Options and Volatility - 4/4 - 4/8

    Weekend Review - Russell 2000 Options and Volatility - 4/4 - 4/8

    I started last week at the FTSE Russell offices participating in a panel discussion that focused on small cap stocks. It was hard to come up with much on the positive side as the Russell 2000 has struggled over the past few months. Every once in a while it appears RUT is about to gain upside traction, but those glimmers of hope seem to be short lived. Last week RUT was down 1.8% while the large cap focused Russell 1000 (RUI) was down about 1.2%. RUI finished the week at up 0.02% for 2016 while RUT[...]

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Apr 3, 2016, 11:11 AM

    Weekend Review - VIX Options and Futures - 3/28 - 4/1

    Weekend Review - VIX Options and Futures - 3/28 - 4/1

    VIX closed on the 2016 lows last week and flirted with a 12 handle. I was asked at a seminar in Scottsdale, AZ on Thursday night how long it will take for VIX to touch 12. I responded that I had a hard time seeing a 12 handle this year. It won’t take much for me to be proven wrong. Something that keeps me in the higher volatility regime camp is the relative level of VIX futures to spot VIX. Note below that the April futures are at a hefty premium to spot VIX despite getting the monthly employment[...]

  • Weekend Review - Volatility Indexes and ETPs - 3/28 - 4/1

    Weekend Review - Volatility Indexes and ETPs - 3/28 - 4/1

    Don’t fight the Fed. That’s a rule we must all live by and long volatility is a fight that isn’t winning these days. Note the drop in the week over week curves below and keep in mind that on March 24th there was a three day weekend in front of VXST which makes that drop even more dramatic. The curve is steep, which can be taken as longer term concerns prevail, but for the near term those looking for higher volatility have stopped fighting. The long funds on the table[...]

  • Weekend Review - Russell 2000 Index and Volatility - 3/28 - 4/1

    Weekend Review - Russell 2000 Index and Volatility - 3/28 - 4/1

    The Russell 2000 (RUT) had a great week rising 3.5% while the large cap focused Russell 1000 (RUI) also did pretty well gaining about 1.9%. For the year RUI went from down to up and is now in the green by 1.23% while the Russell 2000 is still in the red by 1.60%. A repeat of last week and RUT will join RUI in positive territory for 2016. I put lots of charts together every weekend and there’s always one or two that catch my eye. This week’s is below as despite the outperformance[...]

  • Market News | VIX | Trader Talk | Futures | Mar 27, 2016, 10:43 AM

    Weekend Review - Russell 2000 Options and Volatility - 3/21 - 3/24

    Weekend Review - Russell 2000 Options and Volatility - 3/21 - 3/24

    The Russell 2000 (RUT) gave up 2% last week after making a little run at closing the 2016 gap with the Russell 1000 (RUI).  RUT is now down just about 5% for 2016.  There was a glimmer of hope for large caps this time last week, but RUI gave up 0.70% last week and is now 0.65% lower for 2016. The concern for small cap stocks continues to rise relative to large cap stocks in the form of the ratio of the CBOE Russell 2000 Volatility Index (RVX) relative to VIX.  The gap between the[...]

  • Market News | VIX | Trader Talk | Futures | Mar 26, 2016, 9:35 AM

    Weekend Review - VIX Options and Futures - 3/21-3/24

    Weekend Review - VIX Options and Futures - 3/21-3/24

    Despite facing a three day weekend, VIX rebounded with the weakness in the stock market last week.  Of note on the chart below is the price action for the April future.  That contract was at a pretty steep premium to spot VIX and the result was a slight drop in the April contract despite the rise in VIX.  May is at a very large premium as well and this may have been a motivating factor behind the two trades discussed below. Since it is a long weekend let’s take a look at two[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Mar 25, 2016, 9:19 AM

    Weekend Review - Volatility Indexes and ETPs - 3/21 - 3/24

    Weekend Review - Volatility Indexes and ETPs - 3/21 - 3/24

    The S&P 500 was slightly lower last week, ruining a five week winning streak.  This gave three of the four volatility indexes on the chart below a chance to rebound from 2016 lows.  The exception is VXST, but we give this one a break since three day weekends are always tough on VXST. The choppiness in the volatility space last week, along with the front month future actually losing a little value did no favors for the VIX related ETPs.  UVXY was up almost 9% for the week early[...]

  • Market News | Mar 20, 2016, 8:30 AM

    Weekend Review - VIX Options and Futures - 3/14 - 3/18

    Weekend Review - VIX Options and Futures - 3/14 - 3/18

    March VIX futures and options settled on the open Wednesday and now the next standard expiration is April.  Of course there are weekly expirations between now and April and this is one of those instances where there five weeks between standard settlement days.  I note this because of the shape of the curve below.  Note that on Friday April futures closed at a premium of just over 3.70.  VIX is admittedly low, but VIX futures traders are reluctant to sell April futures with so[...]