VIX Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Election & VIX | Oct 24, 2016, 4:58 PM

    "Election Certainty" Not Showing Up In SPX Options Market

    "Election Certainty" Not Showing Up In SPX Options Market

    So we keep hearing that the market is unconcerned with respect to the upcoming election or stated another way the stock market is discounting a victory by Hillary Clinton.  I am always skeptical when being told that the market thinks one thing or another without some sort of numbers to back up the statement.  With respect to the market discounting a pending event as being a non-event I always turn to volatility.  Specifically, implied volatility. If stock market participants are discounting[...]

  • Market News | Oct 23, 2016, 4:30 PM

    The Weekly Options News Roundup – 10/23/2016

    The Weekly Options News Roundup – 10/23/2016

    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. A Second VESTment Launches On Monday, October 18, CBOE Vest announced the launch of the CBOE Vest Defined Distribution Strategy Fund (VDDIX).  VDDIX, the second mutual fund to be launched by CBOE Vest, seeks to generate consistent periodic distributions while preserving capital over the long term. For more information,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 23, 2016, 8:04 AM

    Weekend Review - Volatility Indexes and ETPs - 10/17 - 10/21

    Weekend Review - Volatility Indexes and ETPs - 10/17 - 10/21

    In a bear market we refer to market bounces as ‘relief rallies’.  The drop in volatility last week may be attributed to some sort of relief, whether with respect to expectations around the coming election or that a good part of earnings season has passed without any catastrophic results.  Whatever the reason the curve moved lower as the S&P moved up slightly and the shape is a little less steep. The long volatility funds had a tough time last week with VXX losing[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 22, 2016, 3:39 PM

    Weekend Review - VIX Futures and Options - 10/17 - 10/21

    Weekend Review - VIX Futures and Options - 10/17 - 10/21

    VIX worked lower as we all survived, endured, or got through the final debate on this Presidential election.  The stock market moving up a little probably helped the cause as well.  November took over as the front month contract and finished the week at 15.575 or a spread of just over 2.20 when compared to the spot index.  This is actually a pretty narrow spread relative to how steep the VIX curve has been over the past few months. On Friday one trader came in with the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 22, 2016, 3:10 PM

    Weekend Review - Russell 2000 Options and Volatility - 10/17 - 10/21

    Weekend Review - Russell 2000 Options and Volatility - 10/17 - 10/21

    Last week the Russell 1000 (RUI) and Russell 2000 (RUT) both gained a little ground, with RUI rising 0.41% and RUT winning the week by a nose by moving higher by 0.49%.  For the year RUT is about 3.4% higher than RUI. Both VIX and the Russell 2000 Volatility Index (RVX) were lower last week as the equity markets survived (and we endured) the final debate before the presidential election.  The RVX / VIX ratio gained a bit with the drop in volatility but is still off 2016 highs. On[...]

  • Market News | Oct 16, 2016, 4:40 PM

    The Weekly Options News Roundup – 10/16/2016

    The Weekly Options News Roundup – 10/16/2016

    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. VIX FIX: Volatility’s October Surprise Earnings season is once again upon us, and has caused a bit of turbulence throughout markets.  The Dow Jones Index underwent a series of triple-digit moves this week, briefly dipping below 18,000 on Thursday before rebounding on Friday.  Another catalyst for[...]

  • Market News | Oct 16, 2016, 2:29 PM

    Weekend Review - VIX Futures and Options - 10/10 - 10/14

    Weekend Review - VIX Futures and Options - 10/10 - 10/14

    The tug of war was on and it appears the VIX futures won last week as VIX rose about 20% and the October contract gained only 8%.  When we are in steep contango eventually VIX either rises or the futures give in, this time VIX blinked.  Remember next week October drops off the board and November becomes the front month.  If you are playing the election volatility game we do have Weeklys that expire closer to the vote, but the standard November contract will be the one that gets most[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 16, 2016, 10:43 AM

    Weekend Review - Volatility Indexes and ETPs - 10/10 - 10/14

    Weekend Review - Volatility Indexes and ETPs - 10/10 - 10/14

    On a percentage basis VIX was the big winner among the four S&P 500 related volatility indexes.  VIX gained just over 19% while VXST was up about 13%.  The longer end of the curve is often less responsive to drops in the stock market.  VXV and VXMT behaved as they normally do and rose about 6% and 4% respectively. The long ETPs had a nice week with the unleveraged funds gaining over 5% and the leveraged funds putting up gains of over 10%.  As I like to say, the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 15, 2016, 9:37 AM

    Weekend Review - Russell 2000 Options and Volatility - 10/10 - 10/14

    Weekend Review - Russell 2000 Options and Volatility - 10/10 - 10/14

    The finish line for 2016 performance is starting to appear in the distance. It was starting to look like small cap stocks would rule the year, but in the past couple of weeks, large cap stocks have started to play a little catch up. Last week the Russell 2000 (RUT) dropped just over 2% while the Russell 1000 (RUI) was down just over 1%. The spread is narrowing with RUT maintaining about a 2.4% lead going into the final stretch that is 2016. When volatility moves up in the form of a higher[...]

  • Market News | Oct 9, 2016, 4:00 PM

    The Weekly Options News Roundup – 10/9/2016

    The Weekly Options News Roundup – 10/9/2016

    CBOE RMC Europe Recap CBOE wrapped up its 5th annual Risk Management Conference (RMC) last week in County Wicklow, Ireland.  During the conference, CBOE’s Senior Vice President, Business Development, Andy Lowenthal, and Vice President of Research, Bill Speth sat down to discuss product development, extended-trading hours, and options education with EQ Derivatives.  For more information on RMC, including blogs recapping presentations, visit http://www.cboermc.com/. “Q&A:[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 9, 2016, 8:00 AM

    Weekend Review - Volatility Indexes and ETPs - 10/3 - 10/7

    Weekend Review - Volatility Indexes and ETPs - 10/3 - 10/7

    The VXST – VIX – VXV – VXMT changed a little last week with the wings (VXST & VXMT) losing a little value and the middle section (VIX & VXV) rising slightly.  I find the drop on Friday in VXST a little perplexing as I was hearing concern with respect to a potential market reaction to the Sunday night debate.  People may have been thinking it, but VXST was not reflecting short term concerns. VIX was higher last week, but all the standard futures contracts[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 8, 2016, 2:31 PM

    Weekend Review VIX Futures and Options - 10/3 - 10/7

    Weekend Review VIX Futures and Options - 10/3 - 10/7

    The only thing that rose last week on the VIX curve below was spot VIX.  The steep contango managed to influence the futures pricing versus spot and even with a small gain in VIX, all standard futures lost value last week.   Despite the divergence in performance between VIX and the futures, we are still in pretty steep contango as the market seems to be braced for some sort of fourth quarter surprise. One trade popped up on Friday that appears to be looking for a spike[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 7, 2016, 6:48 PM

    Weekend Review - Russell 2000 Options and Volatility

    Weekend Review - Russell 2000 Options and Volatility

    Large cap stocks held up relative to small caps with the Russell 2000 (RUT) losing 1.30 last week while the Russell 1000 (RUI) was down only 0.77%.  RUT still holds the 2016 lead by a fairly wide margin up 8.86Z% versus up 5.43% for RUI. Low VIX usually results in a higher RVX / VIX spread.  That contributed to the spread reaching 2016 highs this week, but I have to believe that the RUT underperformance has a part in it as well. I went searching for a RUT option trade from[...]

  • VIX | Oct 4, 2016, 9:58 AM

    CBOE and RCM Alternatives Event on VIX Futures Trading

    CBOE and RCM Alternatives Event on VIX Futures Trading

    The CBOE Options Institute is teaming up with RCM Alternatives on October 13th from 4:30 to 8:00 for a discussion and expert panel on VIX Futures and Options trading.  The even will be held at CBOE with a reception following in the Member's Lounge that overlooks the trading floor. The event will cover the current landscape and forecast for the VIX, misconceptions and facts about the structure of VIX futures, and the evolution of how this “fear gauge” has evolved as a trading instrument. After[...]

  • VIX | Oct 3, 2016, 9:59 AM

    How Would a Cubs World Series Victory Impact VIX?

    How Would a Cubs World Series Victory Impact VIX?

    The baseball regular season came to an end yesterday and the Chicago Cubs are positioned to make a historic run that most expect will end in a World Series victory.  See what happens when a trader takes control of a team.... Since many people thought this would never happen, it may also be thought of as a black swan event and we all know that black swans have a dramatic impact on market volatility and show up in an elevated level for the Chicago Board Options Exchange Volatility Index, commonly[...]