VIX Archives - Cboe Blogs

  • Market News | Dec 4, 2016, 4:00 PM

    The Weekly Options News Roundup – 12/4/2016

    The Weekly Options News Roundup – 12/4/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets. Risk Managed Successfully CBOE wrapped up its 2nd annual Risk Management Conference (RMC) Asia in  Hong Kong Thursday.  Over a 160 financial professionals attended the two-day conference, discussing the latest products and strategies for managing risk, enhancing yield and lowering portfolio volatility,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Dec 4, 2016, 11:09 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/28 - 12/2

    Weekend Review - Russell 2000 Options and Volatility - 11/28 - 12/2

    The Russell 2000 (RUT) took a rest for dominating the Russell 1000 (RUI) last week.  Neither index RUT dropped 2.8% while RUI was down about 1.1%.  Since the election the Russell 2000 had gone a bit parabolic, something we don’t often see from broad based indexes.  As of Friday RUT is up 15.7% while RUI is up 7.5% for 2016. The chart below breaks down performance for both RUI and RUT since the election.  Despite the tough week RUT is up 10.0% since November[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Dec 4, 2016, 5:05 AM

    Weekend Review - VIX Options and Futures - 11/28 - 12/2

    Weekend Review - VIX Options and Futures - 11/28 - 12/2

    VIX gained over 14% last week as volatility rose in reaction to a 1% drop in the S&P 500.  It is hard to quantify, but I’m thinking that a part of the rise is VIX can be attributed to the vote going on in Italy this weekend.  Note that the curve shift was not exactly uniform and the futures lagged the move in the index.  Barring a volatility spike in reaction to this weekend or some other unforeseen market moving event, I would not be surprised to see the VIX curve return[...]

  • Market News | Strategy | Election & VIX | 2016 Recap | Nov 29, 2016, 11:24 AM

    Election Night Option Liquidity

    Election Night Option Liquidity

    CBOE’s Extended Trading Hours (ETH) options session reached a significant milestone in the wake of the surprising U.S. election results, surpassing 100,000 contracts for the first time on November 9. CBOE introduced the ETH options session in 2015 on our SPX and VIX products. The primary motivation for offering these products during off-market hours was to provide market participants with the opportunity to react to global events at the time of those events taking place, rather than having[...]

  • Election & VIX | 2016 Recap | Nov 26, 2016, 8:59 PM

    Weekend Review - VIX Options and Futures - 11/21 - 11/25

    Weekend Review - VIX Options and Futures - 11/21 - 11/25

    VIX managed to threaten to break below 12 this past Friday as all seems right in the world.  Who would have thought all being right in the world would involve Donald Trump as our current president elect?  Before the hate mail comes, I’m neutral on this topic, the point I’m trying to make is who would have thought VIX would be so low just a couple of weeks after his upset victory?  Last week we experienced the slightest VIX curve move that I can recall.  However, when[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 26, 2016, 6:01 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/21 - 11/25

    Weekend Review - Russell 2000 Options and Volatility - 11/21 - 11/25

    Small cap stocks seem to love the outcome of the election.  Since the market close on election-day the Russell 2000 (RUT) is up over 12% while the Russell 1000 (RUI) has gained just over 3%.  The 10% lead that RUT has on RUI has just about all come from the post-election rally for small caps.   The CBOE Russell 2000 Volatility Index (RVX) over VIX premium finished just under 47% this past week.  This is the second highest level for 2016.  A combination of higher[...]

  • Market News | Nov 20, 2016, 4:00 PM

    The Weekly Options News Roundup – 11/20/2016

    The Weekly Options News Roundup – 11/20/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets. RIA Forum on Options Strategies On Thursday, CBOE hosted the Registered Investment Advisor (RIA) Forum on Options Strategies.  The day-long event featured roundtable discussions and presentations with leading options industry professionals, including portfolio managers, ’40 Act Fund providers and CBOE[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 20, 2016, 8:08 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/14 - 11/18

    Weekend Review - Russell 2000 Options and Volatility - 11/14 - 11/18

    The Russell 2000 (RUT) widened its lead on the Russell 1000 (RUI) after trouncing the large cap index the previous week.  For the year, RUT is up about 15.8% while RUI is up one basis point under 7%.  If you had been fortunate enough to pick the bottom in RUT you would be up just shy of 38% since February of this year. Volatility spreads, as measured by the CBOE Russell 2000 Volatility Index (RVX) divided by VIX have widened out as they tend to do so in periods of low volatility. [...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 19, 2016, 12:48 PM

    Weekend Review - Volatility Indexes and ETPs - 11/14 - 11/18

    Weekend Review - Volatility Indexes and ETPs - 11/14 - 11/18

    The short end of the VXST – VIX – VXV – VXMT curve took it on the chin as the holiday effect took a toll on VXST.  We may see a bit of a rise in VXST relative to the rest of the SPX oriented indexes as we get the Thanksgiving holiday behind us. VIX is what everyone watches when assessing market risk.  VVIX is what the volatility traders look to when trying to gauge how other volatility traders are feeling about the markets.  VVIX has dropped a bit, but[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 19, 2016, 11:57 AM

    Weekend Review - VIX Options and Futures - 11/14 - 11/18

    Weekend Review - VIX Options and Futures - 11/14 - 11/18

    VIX returned to being a ‘tween’ this week finishing with a twelve handle.  The rest of the curve shifted lower as all fear with respect to a Trump administration seems to have dissipated.  At least for the moment.  There are some risk events between now and the end of 2016 which I’ll address after the table below. CBOE’s partner LiveVol has a great option analyzing tool and one of the features is that you can easily see At-the-Money implied volatility for different[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 15, 2016, 3:46 PM

    If a Trump Presidency Is Scary Why Is VIX So Low?

    If a Trump Presidency Is Scary Why Is VIX So Low?

    The world continues to adjust to the idea of a Trump presidency and there seems to be a lot of fear abounding.  For instance, I recently heard an economist state that he didn’t think even Donald Trump knows what action he’ll take as President.  We will all know the answers to what he’s going to do soon enough.  A question I recently got was, “If Trump is so scary why is VIX low?”  That’s a question I can answer. There are two types of government[...]

  • Market News | Nov 13, 2016, 2:00 PM

    The Weekly Options News Roundup – 11/13/2016

    The Weekly Options News Roundup – 11/13/2016

    VIX FIX: The Volatility Event No One Saw Coming   Volatility jolted from its long slumber Tuesday night after a jaw-dropping win in the U.S. Presidential election by Donald Trump. Global markets were reacting to the surprise as state by state results came in, causing Dow futures to plunge approximately 750 points at one point during the night, while the CBOE Volatility Index (VIX Index) soared 55%, topping the 23 mark. VIX futures contracts also made history, setting a new volume record of 263,663[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 13, 2016, 12:12 PM

    Weekend Review - Volatility Indexes and ETPs - 11/7 - 11/11

    Weekend Review - Volatility Indexes and ETPs - 11/7 - 11/11

    Regardless of the outcome, we all expected VXST to get routed last week and that’s exactly what happened.  I’ve worn this out, but the election was like an earnings announcement with respect to the broad-based equity markets.  We see volatility crushes occur on short dated options when a company reports and we saw that for SPX options this past week. The highlight of the table below is TYVIX.  Uncertainty came out of stocks, but made its way into the fixed[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 13, 2016, 7:56 AM

    Weekend Review - VIX Options and Futures - 11/7 - 11/11

    Weekend Review - VIX Options and Futures - 11/7 - 11/11

    If a tree falls in the woods and no one is there to hear it did it make a sound?  More appropriately for this space, if market fear increases during non-US market hours was there any increase in fear?  Before this election this could be a philosophical debate among those of use that follow market volatility.  Now we know that the answer is yes.  I’ve already touched on the overnight market action in November VIX futures and the S&P 500 futures contracts so I won’t[...]

  • Market News | Trader Talk | Trade Ideas | Nov 12, 2016, 2:40 PM

    Weekend Review - Russell 2000 Options and Volatility - 11/7 - 11/11

    Weekend Review - Russell 2000 Options and Volatility - 11/7 - 11/11

    Last week the Russell 2000 (RUT) beat the Russell 1000 (RUI) down like a college football team trying to make a statement and qualify for a spot in the playoff.  RUT was up over 10% in reaction to the outcome of the US election while the large cap (and more internationally focused) RUI gained just under 4%.  The race to the end of the year was close, but now RUT has about a 7% lead on RUI. In an interesting twist, the CBOE Russell 2000 Volatility Index (RVX) moved up relative[...]