VIX Archives - CBOE Blogs

  • Weekly Review - Russell 2000 Index and Volatility 1/11 - 1/15

    Weekly Review - Russell 2000 Index and Volatility 1/11 - 1/15

    The Chicago Bears are doing the same thing the rest of us did this weekend, watching the playoffs from home.  However, the stock market bears have been dominate in 2016.  Russell 2000 (RUT) history goes back to 1987 so there is not a lot to work with, but the first ten days of 2016 are the worst first ten days on record for RUT.  The table below shows the first ten days for every year when RUT started off in the red followed by what the small cap oriented index did for the balance[...]

  • Caution on Using VIX vs. Oil as a Stock Market Signal

    Caution on Using VIX vs. Oil as a Stock Market Signal

    I awoke this morning to an email from the matriarch of CBOE-TV Holly Goodhart.  She was preparing for her day with CNBC on in the background and something caught her eye.  The following comes directly from her email – I have CNBC on this morning, and they just spent a segment discussing this headline: "Markets bottom when VIX is greater than oil." This didn’t sound right to me for a few reasons, primarily because I recall many years with the price of oil in the teens.[...]

  • Market News | VIX | Trader Talk | Futures | Jan 17, 2016, 1:07 PM

    Weekly Review - VIX Futures and Options - 1/11 - 1/15

    Weekly Review - VIX Futures and Options - 1/11 - 1/15

    Two tomatoes are walking down the street, momma tomato and baby tomato.  Baby tomato can’t keep and momma tomato keeps getting angrier and angrier.  Finally she stops, turns around and stomps on baby tomato.  She then states, “Catch up”. That’s what the VIX futures did this past week, with the stock market playing the role of baby tomato and getting stomped on.  When the dust settled this week VIX was actually up by 0.01 with VIX futures narrowing the gap. [...]

  • Market News | Jan 17, 2016, 11:14 AM

    Weekly Review - Volatility Indexes and ETPs - 1/11 - 1/15

    Weekly Review - Volatility Indexes and ETPs - 1/11 - 1/15

    In an interesting twist VIX was the underperforming index across the VXST – VIX – VXV – VXMT curve rising only 0.01 last week.  It is unusual for VIX to be an outlier like this, but even more so when we experience a three day weekend which one would expect to put some pressure on VXST relative to the longer dated volatility indexes. VXX rose about 7 ½% last week despite the paltry 0.01 gain in VIX.  We all know that VXX is not VIX or even any sort of[...]

  • A Quick Look at VIX Backwardation Streaks

    A Quick Look at VIX Backwardation Streaks

    When VIX is relatively high the VIX term structure moves into what we commonly refer to as backwardation.  The way this may be defined varies among market participants, but most focus on the shorter end of the VIX curve.  That is what I’ve been doing lately as well.  It turns out, regardless of how you define VIX backwardation 2016 has experienced more instances of it than not for the first ten days of 2016.  The tables below rank the consecutive day streaks for VIX backwardation[...]

  • Market News | VIX | Futures | Jan 15, 2016, 1:34 PM

    Twists and Turns In VIX and TYVIX Indexes

    Twists and Turns In VIX and TYVIX Indexes

    The CBOE Volatility Index (VIX) and the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX), benchmarks of volatility for the U.S. equity and Treasury markets, have had some interesting twists and turns this week after another decline in the Shanghai stock market pushed global equities lower and the price of crude oil dipped below $30 a barrel. The TYVIX Index has been heading up since December 24, 2015, but still shows no clear trend from a longer-run perspective. The VIX Index, on the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jan 11, 2016, 6:19 PM

    Block Trade Analysis - Huge 1 x 2 Jan VIX Call Spread from Monday

    Block Trade Analysis - Huge 1 x 2 Jan VIX Call Spread from Monday

    Today, while I was teaching at the Options Institute, a roar came up from the VIX pit about an hour into the trading day.  Despite the tumultuous market activity that we have experienced to begin the year, the audible volume from the open outcry pits has been fairly tame.  What got the guys going today was a very large ratio spread using January VIX Calls that expire on the open next Wednesday. The specific trade sold well over 100,000 of the 22 Calls and purchased twice as many of the[...]

  • Market News | VIX | Trader Talk | Futures | Jan 8, 2016, 7:30 PM

    Weekly Review - Volatility Indexes and ETPs - 1/4 - 1/8

    Weekly Review - Volatility Indexes and ETPs - 1/4 - 1/8

    The S&P 500 experienced the second worst week in performance since 2011.  For those with short memories, the worst week came about four months ago in late August.   What both these weeks have in common is China which continues to experience financial market woes and, despite their leader’s best efforts, there seems to be no end to the volatility coming out of that part of the world for the foreseeable future. The market action pushed all four S&P 500 related volatility[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jan 5, 2016, 8:22 AM

    Block Trade Analysis - VXX Bearish and Bullish Trades from Monday

    Block Trade Analysis - VXX Bearish and Bullish Trades from Monday

    Days like yesterday get me searching for volatility oriented option trades.  I found two that caught my eye in the VXX option market and debated which one to discuss in this space.  After about three seconds of internal debate I decided to just talk about both. Both trades occurred in the middle of the day yesterday, one is bearish on VXX while the other benenfits if VXX spikes to the upper 20’s.  First the bearish trade. When VXX was at 21.90 there was a seller of the VXX Jan[...]

  • Market News | VIX | Trader Talk | Education | Futures | Jan 3, 2016, 9:24 AM

    Five Volatility Market Takeaways from 2015

    Five Volatility Market Takeaways from 2015

    2015 is behind us and the S&P 500 dropped (more than a rounding error) for the first time since 2008.  If you want to put a positive spin on the year you can say with dividends the S&P 500 was higher.  It was a fun year to be a market participant as we experienced some things that could be considered new or at least different relative to recent market history.  Since everyone loves lists, or gets easily sucked into them, here are five takeaways from the volatility markets in[...]

  • Market News | Education | Futures | Strategy | Dec 31, 2015, 10:02 AM

    A Look Backward and Forward: CBOE VIX Indexes in 2015 and 2016

    A Look Backward and Forward: CBOE VIX Indexes in 2015 and 2016

    2015 Retrospective: There was no shortage of financial crises or investor alarm over central bank monetary policies, OPEC’s oil policy, and the generally anemic state of the global economy in 2015. Each CBOE VIX Index recorded the level of stress in its underlying sector. As the graphs below illustrate, different triggers struck panic across markets. VIX Index, Volatility Gauge for U.S. Equity Market: The uptrend in expected volatility of the U.S. equity market continued in 2015. The peak[...]

  • Market News | Technical Analysis & Charts | VIX | Dec 23, 2015, 2:01 PM

    SPX & The Golden Cross

    SPX & The Golden Cross

    For those that watch the market with a “technician’s eye” something unusual happened yesterday. It marked the first time since January 31, 2012 when the 50 day moving average on the SPX Index crossed over its 200 day moving average. Technical types call this “The Golden Cross”, which is almost unequivocally considered a bullish formation (especially in concert with increasing volume). To be fair, in order to set up a Golden Cross, it must be preceded by a “Death[...]

  • Education | Dec 21, 2015, 12:54 PM

    Weekly Market Outlook - Reasons For Caution Here

    Weekly Market Outlook - Reasons For Caution Here

    Talk about a 180-degree turnaround! Traders were bullish leading up to last Wednesday's big news, and remained a little bullish for the last part of that session. With a night to sleep on it though, they changed their minds. Thursday as bearish and Friday was even more so, turning what started out as a great rebound effort into a weekly loss as well as a break below several key support levels. If a Santa Claus rally is in the cards, the bulls are going to have to start with a lot of damage control. We'll[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Dec 20, 2015, 3:30 PM

    Weekly Review - Russell 2000 Options and Volatility - 12/14 - 12/18

    Weekly Review - Russell 2000 Options and Volatility - 12/14 - 12/18

    Small cap stocks continue to languish relative to large cap stocks for 2015.  The Russell 2000 (RUT) was down 0.23% while the Russell 1000 (RUI) lost 0.35% last week.  RUT is down 6.95% for 2015 while the large cap oriented RUI is down only 2.94%.  It’s going to take a small miracle for RUT to close the gap over the next two holiday shortened weeks. The CBOE Russell 2000 Volatility Index (RVX) rebounded relative to VIX last week but finished very close to parity. [...]

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Dec 20, 2015, 10:44 AM

    Weekly Review - VIX Futures and Options - 12/14 - 12/18

    Weekly Review - VIX Futures and Options - 12/14 - 12/18

    VIX gave up 15% last week, despite the S&P 500 losing a little and this index trading in a range of greater than 80 points for the second consecutive week.  Consensus thinking is that with the Fed finally hiking rates a little uncertainty came out of the markets.  Of course Janet Yellen’s press conference was still in full swing when market pundits started discussing when the next potential rate hike may occur. The curve depicting the short dated VIX futures contracts[...]