VIX Archives - Cboe Blogs

  • 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[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 7, 2016, 12:15 PM

    Weekend Review - VIX Options and Futures - 2/1 - 2/5

    Weekend Review - VIX Options and Futures - 2/1 - 2/5

    Friday provided our first glimpse into how the economy was faring in January and the stock market apparently didn’t like what it saw.  VIX finished the day up 7% which was just under half the over 15% rise we got last week.  The February future managed an 11% gain to finish higher than spot VIX.  However, backwardation is still in place with the February contract higher than the March contract.  More on this after the chart and table below. I’ve been obsessively[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Feb 6, 2016, 3:50 PM

    Weekly Review - Volatility Indexes and ETPs - 2/1 - 2/5

    Weekly Review - Volatility Indexes and ETPs - 2/1 - 2/5

    VIX rose last week as did the rest of the volatility indexes that based their levels on S&P 500 Index (SPX) option pricing.  Usually in times of panic VXST (9-day volatility) rises above VIX (30-day volatility), but that was not the case this past week.  You can read this two ways – traders think stocks will rebound or traders are mentally prepared for more downside in the market.  I’m leaning toward the latter. I decided to leave the year to date numbers[...]

  • Market News | VIX | Trader Talk | Strategy | Feb 6, 2016, 9:38 AM

    Weekly Review - Russell 2000 Index and Options - 2/1 - 2/5

    Weekly Review - Russell 2000 Index and Options - 2/1 - 2/5

    Small cap stocks continue to take it on the chin as the Russell 2000 (RUT) dropped almost 5% (4.81% for the quants) last week while the Russell 1000 (RUI) was down 3.16%.  I love how I am conditioned to a 3% drop in a broad based index feeling kind of normal.  My how times have changed. In times of panic the implied volatility of S&P 500 (SPX) options often elevates compared to the implied volatility of RUT index options.  That has not been the case in 2016 and in fact VIX closed[...]

  • VIX | Trader Talk | Futures | Trade Ideas | Jan 31, 2016, 4:48 AM

    Weekly Review - VIX Futures and Options - 1/25 - 1/29

    Weekly Review - VIX Futures and Options - 1/25 - 1/29

    The VIX term structure is approaching contango which many VIX watchers will consider a green light for the equity markets, but the February contract stubbornly remains elevated relative to the March contract.  Although on Friday this premium was down to 0.30.  My feeling is February may stay up a bit until we get the employment number behind us this coming Friday.  At that point I guess VIX will be just like the Fed (data dependent). The shorter term curve flattened out[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 30, 2016, 4:20 PM

    Weekly Review - Volatility Indexes and ETPs - 1/25 - 1/29

    Weekly Review - Volatility Indexes and ETPs - 1/25 - 1/29

    The equity market came to life last week and avoided what could have been the worst January in most of our lifetimes for stocks.  In response the four volatility indexes that are based on SPX option pricing were lower, but all four are also well above where they were to end 2015. I included a year-to-date performance column in this week’s table.  A big part of the motivation was to show the stellar performance of VXX and UVXY (along with the comparable funds) for 2016. [...]

  • Market News | VIX | Trader Talk | Jan 30, 2016, 11:00 AM

    Weekly Review - Russell 2000 Options and Volatility - 1/25 - 1/29

    Weekly Review - Russell 2000 Options and Volatility - 1/25 - 1/29

    The Russell 1000 (RUI) and Russell 2000 (RUT) both put up a respectable week.  However despite the positive week, RUT finished January down 8.85% while RUI was down 5.49%. In an interesting twist, RVX climbed to what is considered a normal premium to VIX last week.  As VIX moved lower, RVX did as well, but not as rapidly.  The result is an RVX to VIX premium of around 20% which is close to the average for the past few years. At least one trader is bullish on small caps[...]

  • Market News | Technical Analysis & Charts | VIX | Trader Talk | Jan 29, 2016, 1:37 PM

    Weekly Stock Market Commentary 1/29/16

    Weekly Stock Market Commentary 1/29/16

    The market has finally stabilized to some extent.  Even though $SPX had wide swings in the past week, there was a net gain over the past five trading days. There is strong support at 1820 (see Figure 1), because that is where this January's decline halted, and where the declines of April and October 2014 also halted.   A breach of that area would be quite negative. Equity-only put-call ratios remain on sell signals.  There have been some attempts by the computer analysis programs[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 28, 2016, 7:29 PM

    Block Trade Analysis - Two VIX Trades from Today

    Block Trade Analysis - Two VIX Trades from Today

    We had two big trades come through the VIX pit today and about the only thing they have in common is that they both used March VIX options. First, there was an out of the money bull call spread.  With spot VIX around 22.60 there was a buyer of 80,000 VIX Mar 27 Calls at 1.95 who then sold 80,000 VIX Mar 35 Calls at 0.91 for a net cost of 1.04.  A spike to just over 28.00 gets this trade to the point of profitability.  This requires a closing high for 2016 in VIX since that current[...]

  • Market News | Technical Analysis & Charts | VIX | Strategy | Jan 25, 2016, 9:57 AM

    Weekly Market Outlook - Reasons To Be Optimistic Here

    Weekly Market Outlook - Reasons To Be Optimistic Here

    After a scary start to the shortened trading week, Wednesday's intraday turnaround followed-through quite nicely all the way to the end of Friday's trading. By the time the closing bell rang that day, the S&P 500 (SPX) (SPY) had gained 1.4% after being down as much as 3.6% at one point on Wednesday. Better still, there's room for the market to keep rising. It's still too soon to say this is the beginning of what will be a prolonged rally; there remains an entanglement of resistance lines[...]

  • Weekly Review - Russell 2000 Index and Options - 1/18 - 1/22

    Weekly Review - Russell 2000 Index and Options - 1/18 - 1/22

    Investors got a slight reprieve from what has been a difficult start to the year as both the Russell 1000 (RUI) and Russell 2000 (RUT) rose last week.  RUI gained 1.36% while the small cap focused RUT was up by 1.28%.  There has been nowhere to hide in 2016, but large cap stocks have held up pretty well versus small caps.  RUI is down just over 7% in 2016 while RUT is down a little more than 10%.  The chart below indexes RUI and RUT to 100 as of December 31st 2015 for comparison’s[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 23, 2016, 6:37 PM

    Weekly Review - VIX Futures and Options - 1/18 - 1/22

    Weekly Review - VIX Futures and Options - 1/18 - 1/22

    The stock market rally on Friday put pressure on VIX and pushed the spot index down enough that the front month February future closed at a slight premium.  This is the first premium for the front month VIX futures relative to spot since January 4th.  I’ll discuss this a bit more toward the end of this blog. The generic short dated curve flattened out which I’m learning is the normal shape using the five consecutive weekly VIX futures contracts. As mentioned above,[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 23, 2016, 8:58 AM

    Weekly Review - Volatility Indexes and ETPs - 1/18 - 1/22

    Weekly Review - Volatility Indexes and ETPs - 1/18 - 1/22

    The S&P 500 rebounded by about 1.4% last week and SPX option volatility moved a bit lower.  The VXST – VIX – VXV – VXMT curve shifted lower and flattened.  However for a bit of perspective I show where we ended 2015.  I think the comparison is a good indication that we may not be completely out of the woods, at least based on the expectations indicated by the various S&P 500 oriented volatility measures. The rebound in the stock market put some[...]

  • Market News | Technical Analysis & Charts | Strategy | Jan 22, 2016, 6:00 PM

    Weekly Stock Market Commentary 1/22/16

    Weekly Stock Market Commentary 1/22/16

    Stocks remain under extreme pressure, but it finally looks like the oversold conditions are starting to have some effect. An oversold rally is now underway. You can see, in Figure 1, that $SPX bounced off the support level at 1820. That level was also the low of both April and October 2014. In essence, nearly two years of gains -- back to April 2014 -- had been wiped out at Wednesday's lows. By the time $SPX reached those levels, the oversold conditions were myriad, and a rally has ensued. We expect[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 22, 2016, 2:40 PM

    TYVIX Weekly Report - January 22, 2016

    TYVIX Weekly Report - January 22, 2016

      VIX Indexes Moderate Despite Little Closure on Global Economic Outlook The bleak outlook for world economic growth, oil prices and low inflation drove equity markets lower for most of this week, although stock prices trimmed losses Friday on a bounce in oil prices and talk of possible central bank easing in Europe and Japan. VIX benchmarks for volatility in equity, fixed income and currency rates moderated (with the exception of JYVIX). Figure 1.  Statistical update   Looking[...]