VIX Archives - CBOE Blogs

  • Market News | Sep 4, 2015, 12:08 PM

    The Weekly Options News Roundup

    The Weekly Options News Roundup

    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. Long Live Volatility Traders are hopping on the VIX roller coaster, taking advantage of the recent volatility in the market. But is volatility here to stay? “VIX to Investors: Fade the Decline,” Steve Sears, Barron’s http://on.barrons.com/1JKfBae “Options Premium Sellers Make Hay While Volatility[...]

  • Market News | Sep 4, 2015, 11:36 AM

    China Growth and Market Structural Integrity Top List of Fear Poll Concern

    China Growth and Market Structural Integrity Top List of Fear Poll Concern

    After a hiatus of almost a year (the October 2014 pullback, to be exact), I have reprised the VIX and More Fear Poll in an attempt to get some insight into which issues have been responsible for bring fear back into the investing equation and in so triggering the highest VIX spike (53.29) outside of the 2008-09 financial crisis and the #5 and #6 one-day VIX spikes ever on consecutive days. In the chart below, I have summarized the top ten responses from almost 400 voters, covering 40 countries over[...]

  • Market News | Sep 4, 2015, 10:25 AM

    Weekly Stock Market Commentary - Intermediate-term Outlook Remains Bearish - 9.4.15

    Weekly Stock Market Commentary - Intermediate-term Outlook Remains Bearish - 9.4.15

    Some of the intermediate-term indicators seem ready to capitulate and issue buys, but the overall picture is far from "all clear" at this point. Despite recurring volatility, $SPX has traded in a new range in the last couple of weeks -- 1870 to 1990. There has been a lot of talk in the media about a "retest" of the lows, where amateur technicians are saying that the market "almost always" retests the lows of a sharp selloff. In fact, with so many people looking for a[...]

  • VIX | Trader Talk | Trade Ideas | Aug 31, 2015, 6:24 PM

    Easy Trading Before the Hurricane Came Through

    Easy Trading Before the Hurricane Came Through

    As someone pointed out two posts back, I did tell everyone: "Follow along for a less wordy (because I've already explained it all) installation documenting the conclusion to this story pretty soon, as the story must end before the dates stamped on my only two current positions: Friday the 21st." So here it is, minus lots of words, because there's not a ton to say other than when I opened, when I closed, and the prices (and the way I dodged being assigned a lot of shares at the associated[...]

  • Market News | Aug 31, 2015, 12:06 PM

    Volatility, Economy & The Fed - Weekly Market Outlook

    Volatility, Economy & The Fed - Weekly Market Outlook

    What a wild week! Perhaps the wildest we've seen in years, with a 5.3% plunge over the course of the first two days of last week more than wiped away by the 6.4% rebound seen over the course of the last three. We're still in the hole by more than 5% since the pullback started two weeks ago, but given the swings we're clearly capable of making now, that gap could be closed in just a couple of days. On the other hand, volatility is a two-way street - we could just as easily be seeing new multi-month[...]

  • Market News | VIX | Trader Talk | Futures | Aug 30, 2015, 11:41 AM

    The History of VIX Contango and Backwardation

    The History of VIX Contango and Backwardation

    This morning (Sunday) I got a request from Eric Thompson at Thompson Capital Management to look into streaks of backwardation in VIX.  There are different ways to measure backwardation.  You will hear pundits say we are in backwardation whenever VIX closes higher than the front month future.  Most market participants like to look to the relationship between the first and second month future since that relationship has a direct impact on the volatility oriented exchange traded products[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Trade Ideas | Aug 29, 2015, 1:19 PM

    The Week in VIX - 8/24 - 8/28

    The Week in VIX - 8/24 - 8/28

    I’m depending on my aging mental capacity in lieu of spending the time to go through the last four years of VIX recap blogs for the following statement.  I have no recollection of a shift in the VIX term structure curve that replicates what shows up below.  VIX lost value on the week, while all the futures contracts moved higher.  Last Friday, spot VIX ran up quickly at the end of the day, but the futures remained at lower levels.  To get back to a more ‘normal’[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Aug 29, 2015, 7:55 AM

    The Week in Volatility Indexes and ETPs - 8/24 - 8/28

    The Week in Volatility Indexes and ETPs - 8/24 - 8/28

    Under no circumstances does the week over week change in the VXST – VIX – VXV – VXMT curve tell the story of last week.  There’s something worth noting, but last week is not done any justice at all if a line showing Monday closing prices is not included, therefore it is. What strikes me as noteworthy about the week over week change in something that is very subtle on the term structure chart that appears above.  Note that VXV and VXMT actually rose last[...]

  • Market News | Aug 28, 2015, 3:30 PM

    Weekly Stock Market Commentary: Intermediate-Term Indicators Remain Negative

    Weekly Stock Market Commentary: Intermediate-Term Indicators Remain Negative

    The relative calm of the stock market trading in a range for six months was shattered in recent days. As recently as August 18th, all was calm. But beginning with a sharp 17-point drop in $SPX on the 19th, the rout was on. The support area at 1980-2000 was blown away, but it may offer some resistance on the way back up. There should also be major resistance at the 2040 level. Meanwhile, Monday's lows at 1870 represents support. If that is violated, last October's lows at 1820 are the next support[...]

  • Market News | VIX | Aug 28, 2015, 3:00 PM

    The Weekly Options News Roundup – 8/28/2015

    The Weekly Options News Roundup – 8/28/2015

    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. VIX: Word on the Street Markets have experienced a tumultuous week, to say the least.  Triple digit swings in the Dow and S&P caused the CBOE Volatility Indexâ (VIXâ Index) to catapult above 50 – a level not seen seven years – on Monday, before retreating to the mid-20s today.  Is[...]

  • Market News | Aug 28, 2015, 2:03 PM

    TYVIX Weekly Review: How This Week's Mini-Crisis Impacted Volatilities Across Different Asset Markets

    TYVIX Weekly Review: How This Week's Mini-Crisis Impacted Volatilities Across Different Asset Markets

    General Volatility Flash        U.S. investors’ expectations of how China’s slower economic growth pace would impact the U.S. economy experienced a violent turnaround, setting the scene for Monday’s stock market tsunami. U.S. stocks spent the week recovering, and Figure 1 shows how the unfolding of this mini crisis impacted volatilities across different asset markets. Although the stock market plunged on Monday, it is clear from Figure 1 that[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Aug 27, 2015, 9:51 AM

    Return of the Big VIX Trade

    Return of the Big VIX Trade

    Beginning back in the spring there was a very large 1 x 2 VIX Call spread that was rolled from month to month for several months.  With the excess volatility it appears the trade was exited earlier this week.  But that is apparently not the end of the story…. Yesterday there was a buyer of about 92,000 VIX Oct 15 Calls for 8.00 who sold about 184,000 VIX Oct 21 Calls at 4.80 which boils down to a credit of 1.60 per spread.  The payoff, if held to October expiration, appears below[...]

  • Strategy | Aug 26, 2015, 2:16 PM

    Surviving Market Volatility Again

    Surviving Market Volatility Again

    This past week was a difficult one for markets.  That is probably an understatement, as the SPX 500 fell a stunning 5% during the week, the Dow Industrials dropped more than 530 points, or more than 3%.  It was the worst week in nearly a year and set the indices back to losses in 2015.  Seems like a big move, right?  It was 'only' 3%, but to put that into context - in 1987 the Dow Industrials dropped a similar amount, or 508 points.  But that was a massive crash, falling[...]

  • Market News | Aug 25, 2015, 7:15 PM

    Checking in on VIX Weeklys Futures Price Action

    Checking in on VIX Weeklys Futures Price Action

    Tomorrow morning we will get the settlement print for the August 26th VIX Weeklys Futures contract.  You never know how a product is going to trade until it is set free upon the marketplace.  The assumption with respect to VIX Weeklys Futures was that the nearest expiring contract would closely track price action in spot VIX.  The past couple of days has been a heck of a time to test this out, but so far it appears the expected price behavior of the nearest expiring future[...]

  • Market News | Aug 25, 2015, 2:41 PM

    Around-the-Clock Trading of VIX and SPX Soars in Recent Days

    Around-the-Clock Trading of VIX and SPX Soars in Recent Days

    CBOE Holdings now offers Extended Trading Hours (ETH) on key popular index futures and options contracts -- to provide investors with tools to hedge and to take advantage of market opportunities as they happen. www.cboe.com/ETH. In recent days many investors have become concerned about falling share prices on stock exchanges in Asia, and on August 24 the trading volumes during ETH soared to 140,811 for VIX futures, 21,612 for VIX options and 8,407 for S&P 500 (SPX) options. DAILY VOLUME DURING[...]