VIX Archives - CBOE Blogs

  • Weekend Review - Russell 2000 Options and Volatility - 2/22 - 2/26

    Weekend Review - Russell 2000 Options and Volatility - 2/22 - 2/26

    Small caps played some catch up again last week with the Russell 2000 (RUT) gaining about 2.7% while the large cap oriented Russell 1000 (RUI) was up 1.75%.  There is still more work for RUT to do as it is underperforming RUI by about 3.6% in 2016. VIX made a new 2016 low last week while the CBOE Russell 2000 Volatility Index (RVX) did not.  This is surprising since small cap stocks outperformed large cap stocks last week, but I’m learning that how RVX and VIX interrelate[...]

  • Market News | VIX | Trader Talk | Education | Futures | Feb 26, 2016, 4:20 PM

    February 26, 2016 Weekly Report on CBOE VIX Index Suite

    February 26, 2016 Weekly Report on CBOE VIX Index Suite

    Foreign Exchange Volatility Remains a Hot Spot The chance of divergence between monetary policies and the impact of oil prices and China factors on international trade continues to sustain volatility in foreign exchange VIX indexes: CBOE/CME FX Euro Volatility IndexSM (Ticker: EUVIX); CBOE/CME FX Yen Volatility IndexSM (Ticker: JYVIX)  and CBOE/CME FX British Pound Volatility IndexSM (Ticker: BPVIX). In contrast, this week the CBOE VIX Index stabilized as stock markets rallied[...]

  • Market News | Feb 23, 2016, 9:34 AM

    Why I Go to CBOE's Risk Management Conference

    Why I Go to CBOE's Risk Management Conference

    Next week is the CBOE Risk Management Conference, of all the events that are put on by different exchanges, associations and nonprofits, this is the only one that I absolutely refuse to miss.  Considering how great many great events there are, that is saying something but it is true for a multitude of reasons. For starters I learn a lot.  Last year there were sessions on trading VIX futures, trading SPX options, and trading equity options that I put to use almost immediately after returning[...]

  • Market News | VIX | Trader Talk | Futures | Feb 23, 2016, 9:17 AM

    The Iceman Selleth

    The Iceman Selleth

    Sometimes it's worth letting something simmer on the stove a while to get impressive results, or in this case it's more like letting something ferment in earthenware pots buried in a forgotten location. But the feast five months later is worth the wait and the worry! Back in September I asked an offhand question of my fellow trader, @Option_Iceman, and received no offhand reply; I quickly forgot about the matter and didn't revisit it again until an answer emerged just a few days ago. The curiosity[...]

  • Market News | Feb 22, 2016, 1:50 PM

    Weekly Market Outlook - Bias Is Overall Bullish Currently

    Weekly Market Outlook - Bias Is Overall Bullish Currently

    Even with Thursday's and Friday's lull, the shortened-trading week was a bullishly productive one. The S&P 500 (SPX) (SPY) ended the week at 1917.78, up 2.8%. On the other hand, most of the major indices are now squarely in the middle of some pretty significant support and resistance levels - they need to make a stronger commitment to one direction or the other before becoming trade-worthy. The bias, though, is bullish in many ways. We'll dissect the market's upside and downside in a moment. [...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Feb 21, 2016, 11:39 AM

    Weekend Review Volatility Indexes and ETPs - 2/16 - 2/19

    Weekend Review Volatility Indexes and ETPs - 2/16 - 2/19

    VXST dropped dramatically last week and closed on the lows of 2016.  VIX managed to hold up a little better and looking at the economic calendar for next week I can kind of see why.  VXST often leads VIX so a move below 20.00 next week may not be out of the question.  After I typed that sentence I realized we are only 0.53 away from the teens so it wasn’t the most daring of market predictions. This is the year I am going to focus more on the disconnection in performance[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 20, 2016, 7:52 PM

    Weekly Review VIX Options and Futures 2/16 - 2/19

    Weekly Review VIX Options and Futures 2/16 - 2/19

    VIX managed to stay in the 20’s despite the most resilient performance from the S&P 500 in 2016.  We did finally give up on the last bastion of backwardation (month 1 versus month 2) as March became the front month with February going off the board Wednesday on the open. The generic short dated VIX curve constructed using Weeklys futures flattened and then some last week based on the drop in VIX and a fairly light economic calendar over the next couple of weeks. [...]

  • Market News | VIX | Trader Talk | Strategy | Feb 20, 2016, 7:12 PM

    Weekly Review Russell 2000 Options and Volatility 2/16 - 2/19

    Weekly Review Russell 2000 Options and Volatility 2/16 - 2/19

    Small caps had a great holiday shortened week with the Russell 2000 (RUT) rising almost 4%.  RUT also played some catch up with the Russell 1000 (RUI) as the large cap benchmark was up a little less than 3%.  However, RUT has a long way to go to catch up with RUI for 2016.  However, there’s a lot of trading left to be done for 2016. The CBOE Russell 2000 Volatility Index (RVX) and VIX both dropped dramatically last week.  However, they dropped in line with each[...]

  • Education | Feb 18, 2016, 4:53 PM

    Option Club Presentations Offered by The Options Institute

    Option Club Presentations Offered by The Options Institute

    Today I spent the afternoon with the Option Trading Strategies of Tampa, St. Petersburg, and Clearwater group.  They meet once a month and allowed me to spend about an hour discussing volatility in the current market along with a wide range of other topics that resulted from the questions I fielded.  Option trading groups and clubs are among my favorite organizations to address as the members are often as passionate about the financial markets as I am. The Options Institute is dedicated[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 17, 2016, 3:43 PM

    VIX Front Month - Second Month Backwardation Streak Ends at 30 - So Now What???

    VIX Front Month - Second Month Backwardation Streak Ends at 30 - So Now What???

    For the first time in 2016 the front month VIX future closed at a discount to the second month.  This brings the recent streak of backwardation to an end at 30 days.  The table below shows the 10 longest first month versus second month backwardation streaks with the recent run coming in a solid fourth place. So now what?  Anyone’s guess is as good as anyone else’s, but I did some quick historical analysis.  The table below shows the 30, 90, 125, and 250[...]

  • Is VIX Approaching a Death Cross?

    Is VIX Approaching a Death Cross?

    I began my week updating charts and tables as I am heading to Tampa, FL to speak on options and then I’m off to Trader’s Expo in New York to deliver a couple of presentations.  The chart below, depicting the rolling 1 year and 5 year average closing prices for VIX is a favorite of mine.  I consider it a good depiction of the equity market shifting from a low to high volatility regime as the 1 year average approaches the 5 year average.  However, I noticed today that the[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 14, 2016, 1:07 PM

    Weekly Review - Volatility Indexes and ETPs - 2/8 - 2/12

    Weekly Review - Volatility Indexes and ETPs - 2/8 - 2/12

    Three out of the four S&P 500 volatility oriented indexes were higher last week.  The shortest dated one, VXST, dropped a little.  We attribute this to the three day weekend impact that puts pressure on VXST, but also usually results in VXST rising the day after a holiday weekend.  For example on Friday VXST dropped 17% while VIX was down 9.74%.  I guess what I’m getting at here is that we should focus on the longer dated volatility indexes on the chart below to get[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 14, 2016, 7:30 AM

    Weekly Review - VIX Options and Futures - 2/8 - 2/12

    Weekly Review - VIX Options and Futures - 2/8 - 2/12

    I had to double check the numbers when I looked at the closing curve this week as I had forgotten this was a holiday shortened week.  For those new to VIX, the calculation is based on calendar days and there is usually a small weekend impact which is exacerbated by three day weekends.  The futures anticipate this and don’t follow VIX to the downside.  In addition to the long weekend, there is a lack of big economic numbers or new scheduled for Tuesday which also may have had[...]

  • Market News | VIX | Trader Talk | Futures | Feb 12, 2016, 6:42 PM

    Weekly Review - Russell 2000 Options and Volatility

    Weekly Review - Russell 2000 Options and Volatility

    The pain continues for the Russell 2000 (RUT) in 2016 on both and absolute and relative basis.  For the year RUT is down over 14% while the large cap focused Russell 1000 (RUI) is only down about 9%.  The gap widened a bit this past week as RUI was down 1.00% and RUT lost 1.38%. Last year, when the market got into a real panic mode, VIX climbed to higher levels that the CBOE Russell 2000 Volatility Index (RVX).  Despite the weakness in stocks this year RVX has maintained[...]

  • Technical Analysis & Charts | Feb 8, 2016, 4:44 PM

    One Size Doesn’t Fit All

    One Size Doesn’t Fit All

    When shopping for shoes there’s a need to know what size to purchase or I suppose one could say whatever comes close. Performances between the U.S. small-cap and large-cap indexes have been quite different so far in 2016.  The small-cap as measured by the Russell 2000® Index (RUT) is down -14.66% compared to the large-cap S&P 500 Index -9.32% (based on closing prices 2/8/16). RUT’s daily moves have been over 1.00% almost two-thirds of the trading days as illustrated below. Managing[...]