VIX Archives - CBOE Blogs

  • Market News | Jun 22, 2015, 10:13 AM

    No Progress Since February - Weekly Market Outlook

    No Progress Since February - Weekly Market Outlook

    The market certainly got off on the right foot last week, rallying all the way through Thursday when the NASDAQ Composite (COMP) finally cleared its all-time record high set back in March of 2000. With no other major market index completing the same feat though -- in addition to Friday's pullback somewhat extinguishing the budding rally -- we can say right now that once again stocks are caught between a rock and a hard place. We'll dissect the details below, right after a quick run-down[...]

  • Market News | Jun 21, 2015, 9:30 AM

    The Week in Russell 2000 Trading - 6/15 - 6/19

    The Week in Russell 2000 Trading - 6/15 - 6/19

    Small cap stocks dominated last week as the Russell 2000 (RUT) rose 1.55% and even put up an all-time record close on Thursday. Large cap stocks fared OK with the Russell 1000 (RUI) rising 0.66% last week, but unlike the RUT, RUI did not manage to put in a new all-time closing high. We have almost reached the middle of the year and so far RUT is up 6.64% while RUI has risen 3.05%. Large cap expected volatility is best represented by the CBOE Volatility Index (VIX) which was a tad higher last week,[...]

  • Market News | VIX | Trader Talk | Futures | Jun 20, 2015, 12:37 PM

    The Week in VIX - 6/15 - 6/19

    The Week in VIX - 6/15 - 6/19

    I promise there are two curves on the figure below showing the week over week changes for VIX and the active VIX futures contracts. All were higher with the exception of the December contract which finished the week unchanged. This just increased the ‘divot’ that we see each year with December volatility. Trading wise, someone used the Thursday dip in VIX to take a bullish position on volatility using July VIX Options. This trade took the form of buying the VIX Jul 17 Call for 1.10 and[...]

  • Market News | Jun 20, 2015, 8:10 AM

    The Week in Volatility Indexes and ETPs - 6/15 - 6/19

    The Week in Volatility Indexes and ETPs - 6/15 - 6/19

    The S&P 500 rose about 3/4% to finish the week over 2100. The term structure of volatility shifted slightly high last week, despite the gain in the S&P 500. That’s a little perplexing, until you consider the continued potential exit of Greece from the Eurozone which I hear commonly referred to as Grexit, despite some market watchers claiming the markets have grown tired of waiting for the potential Grexit to come to fruition. I have decided to try to coin a new term around this –[...]

  • Market News | VIX | Jun 19, 2015, 2:32 PM

    The Weekly Options News Roundup – 6/19/2015

    The Weekly Options News Roundup – 6/19/2015

    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 Trading Going Global The interconnectedness of today’s global markets is underscored by the impact that macroeconomic incidents in one corner of the world have on another.  Volatility doesn’t sleep, and now, neither does trading VIX (and SPX) options. “CBOE Extends VIX and SPX Options Trading[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Jun 18, 2015, 10:50 AM

    Block Trade Analysis - Short VIX Straddle + Long OTM Call

    Block Trade Analysis - Short VIX Straddle + Long OTM Call

    The June 2015 VIX futures and options met their demise on the open yesterday with settlement coming in at 14.67. One trader moved on to the following month with a trade structure that is unique in the option world, but pretty common in VIX world. Mid-morning on Wednesday a trader sold 22,800 VIX Jul 15 Calls for 1.73 and 22,800 VIX Jul 15 Puts at 1.18 who then completed the trade through purchasing 22,800 VIX Jul 22 Calls at 0.72 for a net credit of 2.19. The payoff at expiration appears below with[...]

  • Market News | Jun 16, 2015, 2:27 PM

    Record Volume Today in ETH Session for VIX Options

    Record Volume Today in ETH Session for VIX Options

    Yesterday (June 15) the CBOE Volatility Index® (VIX®) rose to its monthly closing high of 15.39, and earlier today in the June 16 Extended Trading Hours (ETH) sessions, the estimated trading volumes during ETH were 30,920 for VIX futures (the high for the month), and 6,984 for VIX options (the all-time record high).   CBOE Holdings is now offering Extended Trading Hours (ETH) on key popular index futures and options contracts in order to provide investors with the ability to take[...]

  • Market News | Jun 15, 2015, 10:01 AM

    Where We Stand Now - Weekly Market Outlook 6.15.15

    Where We Stand Now - Weekly Market Outlook 6.15.15

    Despite Wednesday's heroically bullish day, Monday's and Friday's tumbles were enough to translate into about a breakeven for last week... against a (mostly) bearish backdrop. That is, although the S&P 500 (SPX) (SPY) made a very modest gain last week, it made even bigger losses in each of the prior two weeks, and is still knocking on the door of some very critical support levels. We'll have a detailed discussion of those support lines below, after a close examination of last week's and this[...]

  • Market News | Jun 14, 2015, 11:30 AM

    The Week in Russell 2000 Trading - 6/8 - 6/12

    The Week in Russell 2000 Trading - 6/8 - 6/12

    Small cap stocks continue the recent domination over large caps with the Russell 2000 outperforming the Russell 1000 again this week.  RUT gained 0.32% while RUI was up only 0.06%.  This puts the Russell 2000 higher by 5.01% for the year and the Russell 1000 up 2.27%.  The widening performance gap shows up in the price chart below where I indexed both the Russell 2000 and Russell 1000 to 100 at the beginning of the year. The CBOE Russell 2000 Volatility Index (RVX) was[...]

  • Market News | Jun 13, 2015, 4:30 PM

    The Week in VIX - 6/8 - 6/12

    The Week in VIX - 6/8 - 6/12

    Despite a treacherous Friday in the equity markets, VIX was lower last week as were all the VIX futures contracts.  We truly had a textbook shift lower in the curve as VIX dropped just over 3% and the front three months played a little catch up to the downside with June going off the board this coming week.  The slope of the curve still appears pretty steep to me going into the end of 2015 despite the uniform drop in prices last week. June VIX futures and options expire on the open this[...]

  • Market News | Jun 13, 2015, 11:30 AM

    The Week in Volatility Indexes and ETPs - 6/8 - 6/12

    The Week in Volatility Indexes and ETPs - 6/8 - 6/12

    The curve shift shown below kind of looks like the June 12th line is taking a swipe at the June 5th line with VXST throwing the punch.  Short term volatility climbed Friday relative to the other volatility measures and the result was a pretty interesting and possibly worrisome change in the VXST – VIX – VXV – VXMT curve.  Time will tell, but VXST at a premium to VIX usually is a result of a market drop or market participants having short term concerns about the equity[...]

  • Market News | Jun 12, 2015, 2:54 PM

    The Weekly Options News Roundup – 6/12/2015

    The Weekly Options News Roundup – 6/12/2015

    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. Bracing for Volatility While volatility continues to rattle the bond and currency markets (see TYVIX Index), options traders believe it’s a matter of ‘when’ -- not ‘if’ -- volatility returns to equities.  Traders are moving to establish hedges in anticipation of higher volatility[...]

  • Market News | Jun 12, 2015, 12:55 PM

    Weekly Market Commentary: Market Remains Mired in its Trading Range 6/12/15

    Weekly Market Commentary: Market Remains Mired in its Trading Range 6/12/15

    Despite some indications this week that the market might break down, it did not do so. In fact, the Standard & Poors 500 Index ($SPX) held near the previous support level of 2070, thereby strengthening that level as market support. On the upside, there is resistance at the old highs of 2135, so $SPX remains locked in the 2070-2135 trading range. Equity-only put-call ratios are split in their signals at the current time. The standard ratio is declining, and is thus on a buy signal. Conversely,[...]

  • Market News | VIX | Trader Talk | Education | Trade Ideas | Jun 11, 2015, 2:00 PM

    The Big $VIX Trade - Part 3

    The Big $VIX Trade - Part 3

    The title of this blog refers to three parts and this is because we just had the third trade in the ongoing saga of a large 1 x 2 call spread in VIX options come into the VIX option pit yesterday.  There is actually another piece to the puzzle as when the first trade was initiated part of the transaction involved a large sale of call options and that position may still be open.  I do my best to keep blogs short, but I’m going to run through all three transactions individually and[...]

  • Education | Jun 11, 2015, 9:52 AM

    Options Trading Strategies: Low Fear Levels Make for Cheap Option Protection

    Options Trading Strategies:  Low Fear Levels Make for Cheap Option Protection

    Summer trading usually ushers in a time a low volatility and often very little interest.  Markets tend to make sharp and jagged moves as liquidity is thin.  At this time with markets at/near all time highs and nobody truly wants to get off the train, it makes for some difficulty but often some opportunities arise when others are looking the other way.  Paraphrasing Robert Frost, 'The road less traveled makes all the difference'. We often see some sort of 'summer rally' occur with alacrity,[...]