VIX Archives - CBOE Blogs

  • Market News | Nov 17, 2015, 8:30 AM

    Skew Charts to Prepare for Conference in Hong Kong

    Skew Charts to Prepare for Conference in Hong Kong

    This month I am planning to travel to the First Annual CBOE Risk Management Conference (RMC) Asia, which will be held on November 30 – December 1 at the JW Marriott Hotel, Pacific Place, 88 Queensway, Hong Kong. In my preparations for the trip, I am analyzing the skew charts for a number of option classes, including options on the S&P 500®, the CBOE Volatility Index® (VIX®), and the EEM and FXI ETFs. SKEW CHART FOR SPX OPTIONS As noted in the White Paper on the CBOE SKEW[...]

  • Market News | Nov 16, 2015, 10:13 AM

    Weekly Market Outlook - Volume & Volatility

    Weekly Market Outlook - Volume & Volatility

    What started out as only a modest possibility last week didn't take long to turn into the worst-case scenario. The S&P 500 (SPX) (SPY) gave up 3.6% of its value last week... the biggest weekly drop since the one that did the core of damage in mid-August. Uncertainty regarding the health of the economy after a few-too-many disappointing retail earnings reports was largely to blame for the weekly setback, though uncertainty surrounding the near-term future of interest rates took a toll as[...]

  • Market News | Trader Talk | Trade Ideas | Nov 15, 2015, 5:50 PM

    The Week in Russell 2000 Trading - 11/9 - 11/13

    The Week in Russell 2000 Trading - 11/9 - 11/13

    The tough week for stocks was harder on small caps than large caps as the Russell 2000 (RUT) was down 4.43% and the Russell 1000 (RUI) dropped 3.63%.  RUT has a lot of work to do to catch up with RUI as the gap is at almost 3% between RUI (down 1.92%) and RUT (down 4.83% for the year). We tend to see VIX rise relative to the CBOE Russell 2000 Index (RVX) in times of turmoil.  That happened in August to the point of historically extreme relative RVX – VIX levels. [...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Nov 15, 2015, 10:40 AM

    The Week in VIX - 11/9 - 11/13

    The Week in VIX - 11/9 - 11/13

    VIX managed a finish over 20 as Friday’s market action raised the level of concern among market participants.  You have to wonder if Friday August 21st and the follow through on the 24th is still fresh in trader’s minds. The short term curve flattened out which seems to be the norm when VIX move higher, since VIX Weeklys are relatively new. Mid-day on Friday while VIX was still under 20.00 (19.60 to be exact), there was a buyer of the VIX Dec 25 Calls who paid 1.10 and[...]

  • Market News | VIX | Trader Talk | Futures | Nov 15, 2015, 9:09 AM

    The Week in Volatility Indexes and ETPs - 11/9 - 11/13

    The Week in Volatility Indexes and ETPs - 11/9 - 11/13

    The S&P 500 took a dive last week in what turned out to be the second worst weekly performance of 2015.  As of Friday the S&P 500 is down 1.7% for the year which would be the first noticeable loss (2011 was down less than 0.01%) since 2008.  The four volatility indexes that use S&P 500 as the underlying all shot higher.  What stands out to me is the high levels for VXV (3-month) and VXMT (6-month) on the chart below.  We are in the midst of high SPX implied volatility[...]

  • Market News | Nov 13, 2015, 1:33 PM

    TYVIX Weekly Report: Who Is Afraid of a Little Rate Hike?

    TYVIX Weekly Report: Who Is Afraid of a Little Rate Hike?

    U.S. and European equities are the only market sectors to express some fear of a rate hike since the November 4, 2015, congressional testimony by Fed Chairwoman Janet Yellen, who indicated that a December increase in the federal funds’ target rate was a real possibility. From November 4 through the close on November 12, the VIX Index increased by18% and VSTOXX by 20%, in spite of the European Central Bank’s (ECB’s) commitment to extend its quantitative easing program. On the other[...]

  • Market News | Trader Talk | Education | Futures | Trade Ideas | Nov 11, 2015, 8:01 AM

    Five Things I'm Looking Forward to at RMC Asia

    Five Things I'm Looking Forward to at RMC Asia

    The air was cold this morning as I headed to the train which means two things.  Thanksgiving is just around the corner and right after that CBOE will be in Hong Kong for our first annual CBOE Risk Management Conference in Asia.  The schedule is out and I’m excited about the whole docket, but five things in particular have me counting the days to November 30th. Ed Tilly, CEO of CBOE Holdings, will be speaking at the beginning of the second day to welcome attendees and give an update[...]

  • Market News | Nov 9, 2015, 10:17 AM

    Weekly Market Outlook - Stocks Hang in the Balance

    Weekly Market Outlook - Stocks Hang in the Balance

    Stocks may have ended the week with a gain last week, but it didn't end the week on a bullish note. Every bit of last week's 0.9% advance (and then some) was reaped on Monday, with the market drifting lower over the course of the last three days of the week. Still, stocks hang in the balance between bullishness and bearishness... squarely in the middle. Surprisingly, big unemployment news didn't rock the market out of its rut. Don't assume Friday's employment report can't still have a market-moving[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Nov 8, 2015, 8:13 AM

    The Week in Russell 2000 Trading - 11/2 - 11/6

    The Week in Russell 2000 Trading - 11/2 - 11/6

    The first thing that popped in my mind when I created the first chart in this blog was the story “The Little Engine that Could”.  This was a pre-Thomas the Tank Engine story of a little locomotive that achieves a great feat while telling himself “I think I can” repeatedly.  My mental analogy relates to the Russell 2000 (RUT) line below which pushed higher by over 3% last week closing the 2015 YTD gap with the Russell 1000 and also moved very close to positive territory[...]

  • VIX | Trader Talk | Education | Futures | Nov 7, 2015, 1:58 PM

    The Week in VIX - 11/2 - 11/6

    The Week in VIX - 11/2 - 11/6

    VIX finished the week closer to 14 than 15 based on a muted response to the employment number and a lack of known potential volatility events on the horizon.  The fear index did manage to spend a little time on Monday and Tuesday under 14.00 which is a level that many consider the new ‘floor’ for VIX since we are about to enter a period of increasing interest rates.    The futures all followed the index lower which would be expected with smooth sailing for the stock[...]

  • Market News | VIX | Trader Talk | Futures | Nov 7, 2015, 11:22 AM

    The Week in Volatility Indexes and ETPs - 11/2 - 11/6

    The Week in Volatility Indexes and ETPs - 11/2 - 11/6

    The S&P 500 quietly rose just under 1% last week and VIX worked lower.  Across the board S&P 500 focused volatility indexes dropped with the possibility that any threat of increased volatility in the markets has been pushed out to 2016.  Of course back in August those same indexes dropped as the economic calendar was light and Labor Day was around the corner.  Note what happened on August 21st and August 24th when complacency started setting in. On the table below[...]

  • Market News | VIX | Blogging Options | Nov 6, 2015, 2:32 PM

    The Weekly Options News Roundup – 11/6/2015

    The Weekly Options News Roundup – 11/6/2015

    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 Weeklys: A Better Option for All The newly launched VIX Weeklys options contracts are off to a strong start, trading an average of 25,000 contracts in October.  Matt Moran, CBOE Vice President of Institutional Marketing, explains why VIX Weeklys contracts are a good option for all VIX players. “VIX Weeklys[...]

  • Market News | Nov 6, 2015, 1:45 PM

    TYVIX Weekly Report - The Janet Yellen Factor

    TYVIX Weekly Report - The Janet Yellen Factor

    Encouraged by the downward trend in the U.S. unemployment rate and unfazed by a third contraction in the ISM Manufacturing Index, Federal Reserve Chair Janet Yellen told the House Financial Services Panel on Wednesday that a rate hike is still “a live possibility” for the December meeting of the Federal Open Market Committee (FOMC). As she testified before Congress at mid-week, TYVIX resumed the upward path it had followed since October 22. Interestingly, positive reports on jobless[...]

  • Market News | Nov 6, 2015, 1:03 PM

    Weekly Stock Market Commentary - Indicators Are Still Bullish

    Weekly Stock Market Commentary - Indicators Are Still Bullish

    The stock market's strong rally has continued for another week, although it's beginning to act a bit tired, and the market is getting overbought. Even so, the $SPX chart is still in an uptrend, and there is support at 2040, 2020 and 2000. Equity-only put-call ratios continue to plunge, and that is bullish for stocks. These ratios are now in the lower portion of their charts, which is just on the verge of being overbought. Market breadth has remained one of the weaker components. At the current time,[...]

  • VIX | Trader Talk | Strategy | Nov 4, 2015, 7:18 PM

    Reality Check - VIX, SPX, and Non-Farm Payrolls

    Reality Check - VIX, SPX, and Non-Farm Payrolls

    The first Friday of the month means different things to different people.  For instance, at the Rhoads household that’s taco night!  However, in the world that is the financial markets the first Friday of the month is (typically) the day that the market digests the Non-Farm Payrolls number.  This is often the first number to give us insight into the economy from the previous month.  For example this coming Friday’s Non-Farm Payroll report discusses changes in employment[...]