VIX Archives - Cboe Blogs

  • Market News | Sep 21, 2015, 10:45 AM

    Markets, Fed & The Dollar - Weekly Market Outlook 

    Markets, Fed & The Dollar - Weekly Market Outlook 

    What started out as a fairly bullish week didn't end as one. The Federal Reserve's decision to not raise the nation's key interest rate inspired just enough doubt about the health of the global economy to send stocks lower on Friday. It was just enough of a stumble to pull stocks back into the red for the entire week. And yet, there's still a way for the pullback to stop before it gets started in earnest. We'll dissect that narrow path below, after taking a look at last week's key economic numbers. Economic[...]

  • Market News | VIX | Sep 20, 2015, 7:00 AM

    The Week in Russell 2000 Trading - 9/14 - 9/18

    The Week in Russell 2000 Trading - 9/14 - 9/18

    Once the dust had settled last week, large cap stocks dropped slightly with the Russell 1000 losing 0.10%.  Small cap stocks were the place to be, at least on a week over week basis, as the Russell 2000 rose 0.48%.  It was a frantic trading week due to the first FOMC meeting in a very long time that had some debate and uncertainty as to what the ‘Fed was going to do’.  They did nothing and small cap stocks liked it more than large cap stocks. The relationship between the[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 19, 2015, 12:00 PM

    The Week in VIX - 9/14 - 9/18

    The Week in VIX - 9/14 - 9/18

    VIX was slightly lower despite the S&P 500 dropping a little last week.  I would not read anything into this slight market anomaly(both SPX and VIX dropping last week).  VIX actually showed the type of behavior we are accustomed to with equity implied volatility leading up to and after an earnings report.  Just think of the FOMC announcement as a kind of earnings announcement for the equity markets. The September contract settled Wednesday last week and now October is the front[...]

  • Market News | VIX | Trader Talk | Education | Sep 19, 2015, 5:42 AM

    The Week in Volatility Indexes and ETPs - 9/14 - 9/18

    The Week in Volatility Indexes and ETPs - 9/14 - 9/18

    All four of the S&P 500 oriented volatility indexes dropped last week as we finally got the September FOMC meeting behind us.  At this point there are two more meetings in 2015.  What I find interesting is VXV, which is a measure of 3 month expected volatility held up more than the other three indexes.  It just so happens that 3 months from this week is also the final FOMC meeting of the year. In the ETN space, VXX, UVXY, and TVIX gave up more of the recent gains despite the VIX[...]

  • Market News | VIX | Blogging Options | Sep 18, 2015, 3:00 PM

    The Weekly Options News Roundup – 9/18/2015

    The Weekly Options News Roundup – 9/18/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. All Eyes on the Fed It was all about the Fed this week – would they or won’t they?  Market participants kept close tabs on the CBOE Volatility Index this week as it drifted slightly lower heading into yesterday’s no hike announcement. "VIX at 24 Leaves U.S. Stocks With No Road Map for Fed[...]

  • Market News | Education | Sep 18, 2015, 12:43 PM

    TYVIX Weekly Review: Treasury Volatility Yawns Following Much-Hyped Fed Meeting

    TYVIX Weekly Review: Treasury Volatility Yawns Following Much-Hyped Fed Meeting

    The financial world is familiar with volatility smiles and volatility smirks. This week we were treated to a volatility yawn. Treasury and equity volatility declined all the way into the Federal Open Market Committee’s Wednesday-Thursday meeting as investors concluded that the FOMC would probably not raise the federal funds target rate – the FOMC had repeatedly voiced its concern about too little global growth and too little inflation.  But all was not ho-hum on Thursday. A moment[...]

  • Market News | Sep 14, 2015, 10:14 AM

    Dollar Caution - Weekly Market Outlook

    Dollar Caution - Weekly Market Outlook

    The market may have peeled back off of its highs hit last week, but even with that dip the S&P 500 (SPX) (SPY) managed to close on Friday a solid 2.0% better than where it ended the prior Friday. It remains to be seen if stocks can sustain the uptrend; there are strong technical arguments from both sides of the fence. The good news/bad news is, things should come to a head this week and force the bulls and the bears to play their hand. Once they do (for better or worse), the market will get much[...]

  • VIX | Trader Talk | Education | Trade Ideas | Sep 13, 2015, 2:06 PM

    The Week in Russell 2000 Trading - 9/8 - 9/11

    The Week in Russell 2000 Trading - 9/8 - 9/11

    Small and large cap stocks moved higher in sync last week with both the Russell 1000 (RUI) and Russell 2000 (RUT) gaining about 2%.  Both are still lower for the year with RUI down 4.32% and RUT down 3.89%. On the volatility front VIX finished the week at about a 5% discount to the CBOE Russell 2000 Volatility Index (RVX).  Historically RVX is usually at about a 20% premium to VIX, however, in times of global crisis or higher levels of volatility the two tend to converge.  The recent[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 13, 2015, 9:59 AM

    The Week in VIX - 9/8 - 9/11

    The Week in VIX - 9/8 - 9/11

    VIX dropped last week, which it tends to do when the S&P 500 is up 2%, but the futures curve remains in a state of backwardation.  The continued backwardation honestly surprises me when the risk everyone is talking about comes after September contracts settle on the open Wednesday of this week.  It may just be that there is more to be worried about than the pending Fed announcement. The weekly VIX curve shifted lower as well.  Having five consecutive weekly VIX futures expirations[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 12, 2015, 10:43 AM

    The Week in Volatility Indexes and ETPs - 9/8 - 9/12

    The Week in Volatility Indexes and ETPs - 9/8 - 9/12

    The VXST – VIX  - VXV – VXMT curve shifted dramatically to the downside last week in response to the S&P 500 recovering about 2% of recent losses.  The highlight here for me is that VXST is still at a premium to VIX, although the difference is very slight.  All eyes are on the Fed this coming week.  I’m going to attribute this short term volatility premium to the market preparing for the known unknown of how the financial markets will react to the Fed statement. As[...]

  • Market News | Sep 11, 2015, 1:39 PM

    TYVIX Weekly Review: Volatility Caught Between China and a Fed Rate Hike

    TYVIX Weekly Review: Volatility Caught Between China and a Fed Rate Hike

    Between China’s softened economic landing and a possible Federal Reserve rate hike next week when Fed policymakers meet, volatility has been lifted by the Sturm and Drang of almost daily economic announcements from Asia, Europe and the U.S. Volatility is now reverting to more normal levels. But what is normal? As seen in Figure 1, the new normal for the CBOE VIX Index is now closer to 25, which is 40 percent higher than at the beginning of 2015. EUVIX is up 19 percent, and TYVIX up 4 percent.[...]

  • Market News | Sep 8, 2015, 2:53 PM

    Key Levels & Fed Expectations - Weekly Market Outlook

    Key Levels & Fed Expectations - Weekly Market Outlook

    The market never could get the rebound rally from two weeks ago restarted last week. In fact, between Tuesday's near -3% stumble and Friday's 1.5% lull, the S&P 500 (SPX) (SPY) finished the week on the defensive more so than the offensive. The bulls still have their work cut out for them. And yet... While stocks are facing the wrong direction, stocks are still on the fence, and the right nudge -- whether it be a recovery in China or some encouraging interest rate news from the Fed -- stocks[...]

  • The Week in Russell 2000 Trading - 8/31 - 9/4

    The Week in Russell 2000 Trading - 8/31 - 9/4

    The Russell 1000 (RUI) was down 3.31% last week and the Russell 2000 (RUT) lost 2.3%.  This outperformance (I know it doesn’t feel like outperformance) of small caps leads me to ponder the true concerns of market participants that actually put money to work.  The press continues to focus on the Fed’s next move, which will be known in just under two weeks on September 17th.  However, small cap stocks, as a group, are more exposed to the domestic economy than large cap stocks. [...]

  • Market News | VIX | Trader Talk | Futures | Sep 5, 2015, 3:44 PM

    The Week in VIX - 8/31 - 9/4

    The Week in VIX - 8/31 - 9/4

    On the traditional VIX curve we saw a pretty dramatic shift of the upside across the board.  The exception was spot VIX, but we have to attribute the smaller move to the three day weekend effect that causes VIX to close a little lower than if we were approaching a 2 day weekend.  A couple of things catch my eye on the term structure chart below. First, the price difference between September and October has me scratching my head.  On Friday we kept hearing how the employment number[...]

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Sep 5, 2015, 11:00 AM

    The Week in Volatility Indexes and ETPs - 8/31 - 9/4

    The Week in Volatility Indexes and ETPs - 8/31 - 9/4

    The S&P 500 lost 3.4% last week which I guess is becoming commonplace these days.  Do note on the curve below that VXST closed a tad lower on a week over week basis.  We attribute this to the long weekend we are currently experiencing and I’ll address that a little more in a minute. Both VXST and VIX experience a little bit of a headwind going into long weekends.  This can be attributed to the calculations of both being based on calendar days and not trading days. [...]