VIX Archives - CBOE Blogs

  • Market News | Jul 28, 2015, 12:25 PM

    Markets Feel Normal Again (Maybe)

    Markets Feel Normal Again (Maybe)

    Though we had four down sessions this past week and drop of 2% for the SPX 500, the action had a more normal feel to it.  What am I talking about?  First and foremost, it was nice for a change the market sentiment was not being driven by Greece.  Since mid-June that has been the case, the unpredictability over a resolution has gripped investors/traders in a panic.  When payment deadlines for Greece passed it was all but assumed the worst would happen and volatility shot through[...]

  • Trader Talk | Trade Ideas | Jul 27, 2015, 7:35 PM

    Hitting a single in $SVXY

    Hitting a single in $SVXY

    Editors note – we would like to welcome Meredith Kelley Zidek as a new contributor to the CBOE Options Hub.  Meredith is a private investor whose interests include equities, options, and commodities.  She began trading equities in 2007, and since then has cultivated interests in corn, energy, and most recently, index and equity options. Almost all of her trading, which can be seen on grapestrades.blogspot.com, involves short options on volatility-related instruments.  She studies[...]

  • Market News | Futures | Jul 27, 2015, 5:35 PM

    VIX Weeklys Futures Rose Today

    VIX Weeklys Futures Rose Today

    Today the new nearby VIX® Weeklys futures (ticker “31VX/Q5,” with an August 5 expiration) rose about 7% and had a daily settlement value of 15.325. Here is a screenshot of the delayed quotes table at 3:28 pm CT today -  The detailed futures quote table below showed expiration dates, prices, and volumes for VIX futures with the new Weeklys expirations and standard expirations.    Investors with Bloomberg terminals can see detailed VIX futures information[...]

  • Market News | Jul 27, 2015, 11:22 AM

    Where Is The Floor? - Weekly Market Outlook

    Where Is The Floor? - Weekly Market Outlook

    Once the bearish ball got rolling last week, it got rolling in spades. In retrospect, however, the pullback makes sense in terms of when, where, and why. The S&P 500 (SPX) (SPY) as well as the NASDAQ Composite (COMP) both bumped into major technical ceilings, and right on cue, began a retreat that likely isn't over yet. We'll dissect the breakdown below, as always. First though, we need to run down last week's and this week's key economic numbers. Economic Data Though a light week in terms of[...]

  • Market News | VIX | Jul 24, 2015, 3:00 PM

    The Weekly Options News Roundup – 7/24/2015

    The Weekly Options News Roundup – 7/24/2015

    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. A 24/7 VIX? VIX futures are available for trading nearly 24 hours a day….is it time for the VIX Index to be calculated around the clock? “The Case for a 24-Hour VIX” – Steven M. Sears, Barron’s http://on.barrons.com/1JfHYle VIX Futures Weeklys Are Here The CBOE Futures Exchange (CFE) launched[...]

  • Market News | Jul 24, 2015, 12:07 PM

    Weekly Stock Market Commentary - 7.24.15

    Weekly Stock Market Commentary - 7.24.15

    $SPX now appears to failing at the top of the range, thereby remaining within the 2040 - 2135 trading range. Hence, the $SPX chart remains neutral as long as it's in that trading range. Put-call ratios are mixed, but generally are in an oversold state. The standard ratio continues to rise and is thus on a sell signal.  The weighted ratio, however, has rolled over to a buy signal. Market breadth has been poor lately, and that has caused some concern.  Both ratios have now reached an oversold[...]

  • Market News | Jul 24, 2015, 10:20 AM

    Launch of Trading in VIX Weeklys Futures – More Expirations to Provide More Responsiveness

    Launch of Trading in VIX Weeklys Futures – More Expirations to Provide More Responsiveness

    On the July 23 trading day, CBOE Futures Exchange, LLC (CFE®) launched the first-ever trading of futures with weekly expirations on the CBOE Volatility Index® (VIX® Index). The new VIX Weeklys futures offer more expirations that have the potential to provide more precision and responsiveness for investors. On July 23 the estimated trading volume was more than 200 contracts for the new VIX Weeklys futures (with expirations on August 5 and August 12), and approximately 216,000 contracts[...]

  • Education | Jul 23, 2015, 4:00 PM

    VIX Futures Spread: A Favorite Tool for Picking Bottoms of S&P-500 Cash Index

    VIX Futures Spread: A Favorite Tool for Picking Bottoms of S&P-500 Cash Index

    As the S&P-500 Cash Index (SPX) has become the de-facto benchmark for the US equity markets (DJIA belongs to the abacus era), picking tops and bottoms of the SPX has become a favorite of many market timers. As we all know, volatility at market tops tend to be relatively low, while at the bottoms it tends to spike. Taking that information and turning it into a time series provides a reasonable quantitative tool with which we can reliably pick bottoms—and perhaps also tops—in SPX within[...]

  • Market News | Education | Jul 21, 2015, 2:09 PM

    VIX Near the Bottom?

    VIX Near the Bottom?

    The VIX has a highly negative correlation to the SPX. The VIX is priced upon the time value that is embedded in the premium of SPX options. When stocks fall they usually move much more rapidly to the downside than they move to the upside. As the stocks fall investors rush  to scoop up puts that provide downside protection or grabbing calls should there be a correction. Insurance for a beachside cottage is much more expensive when a hurricane hits ten miles offshore than when there hasn’t[...]

  • Market News | Jul 21, 2015, 10:55 AM

    Panel of Experts in NYC Discusses VIX Weeklys Futures -- To Launch at 3:30 PM CT on July 22

    Panel of Experts in NYC Discusses VIX Weeklys Futures -- To Launch at 3:30 PM CT on July 22

    On July 16 in New York City, a panel of four volatility experts - Mark Chen, Managing Director, Citigroup; Joe Aiken, Managing Partner, Malachite Capital Management; Krag “Buzz” Gregory, Managing Director, Goldman Sachs; and Jim Lubin, Managing Director; CBOE Futures Exchange, LLC (CFE®), had a lively and upbeat discussion on the topic of Managing Portfolios with VIX®Weeklys Futures and Options. CFE plans to list futures with weekly expirations on the CBOE Volatility Index®(VIX)[...]

  • Market News | Jul 20, 2015, 11:55 AM

    Russell 2000 Index Lags on Today’s Rally

    Russell 2000 Index Lags on Today’s Rally

    The momentum in technology and health care stocks continue to lead the large cap U.S. equity market higher.  Alternatively, the Russell 2000 small cap index is trading lower as today’s price action is hovering down towards its 50 day moving average (1258.11). The divergence between the small cap and large cap indices is reflected in their respective volatility indexes. The RVX – VIX spread chart highlights a widening spread as RVX +.49  higher and VIX -.35 from Friday’s[...]

  • Market News | Jul 20, 2015, 10:37 AM

    Bullish Technical Indicators, Dollar & Gold - Weekly Market Outlook

    Bullish Technical Indicators, Dollar & Gold - Weekly Market Outlook

    With a possible end (more or less) to the Greek debt crisis taking shape last week, investors were once again confident enough to get back to their buying ways. When it was all said and done, the market gained about 2.4%, crawling back above some key resistance levels in the process. And yet, stocks didn't quite clear their biggest hurdles, and in rare cases where the indices managed to make good technical progress, they ran into other walls. In other words, there are still several ways from[...]

  • Market News | Trader Talk | Futures | Trade Ideas | Jul 20, 2015, 8:33 AM

    Following Up on The Case for a 24-Hour VIX

    Following Up on The Case for a 24-Hour VIX

    For the second weekend in a row The Striking Price column in Barron’s had me at the headline. Last week, Bill Luby was the guest columnist, and it was about small cap volatility and the Russell 2000. Steve Sears (the guy that came up with the term 'fear index') was back at the helm this week and the words “The Case for a 24-Hour VIX” called out to me to read more. Anyone that has an interest in VIX should take a look at the full article, but here are some highlights. Sears[...]

  • Market News | Jul 18, 2015, 6:30 PM

    TYVIX Weekly Review by Catherine Shalen - 7/18/2015

    TYVIX Weekly Review by Catherine Shalen - 7/18/2015

    TYVIX in the Aftermath of the October 15, 2014 Flash Crash On Monday, July 13, staff members from the U.S. Department of Treasury, the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, the U.S. Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission released a joint report on the exceptional Treasury volatility that occurred on October 15, 2014. The behavior of the TYVIX Index since October 2015 provides a new angle to the story.[...]

  • Market News | Jul 18, 2015, 1:16 PM

    The Week in VIX - 7/13 - 7/17

    The Week in VIX - 7/13 - 7/17

    VIX closed at 11.95 which is the low for 2015 on Friday and below 12.00 for the first time this year. The week over week drop for VIX was 29% which is the third biggest one week drop in the history of VIX. The curve shifted accordingly, but do note with only two trading days to go the July futures finished the week just about a point higher than spot VIX. I’m away from CBOE this week, but never away from the markets. I did note via my twitter feed the history of the market the day after VIX[...]