VIX Archives - Cboe Blogs

  • 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[...]

  • Market News | Oct 2, 2016, 4:00 PM

    The Weekly Options News Roundup – 10/2/2016

    The Weekly Options News Roundup – 10/2/2016

    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. CBOE RMC Europe’s High 5 CBOE held its 5th annual Risk Management Conference (RMC) Europe in County Wicklow, Ireland earlier this week.  “The Volatility Summit,” as RMC is sometimes affectionately called, was attended by nearly  200 financial professionals.  Sessions covered new CBOE[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 2, 2016, 8:39 AM

    Weekend Review - VIX Options and Futures - 9/26 - 9/30

    Weekend Review - VIX Options and Futures - 9/26 - 9/30

    The VIX curve did The Twist (cue Chuck Berry) as spot VIX rose 8% and the front month October contract was up by just over 1%.  Beyond the front month all things were red. The highest closing level for VIX last week came on Monday with the spot index finishing the day at 14.50.  One trader had an expectation that this move up would very short lived and decided to sell a call spread with VIX Weeklys Options that expired on the open this past Wednesday.  Just a few minutes[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 1, 2016, 12:53 PM

    Weekend Review - Russell 2000 Options and Volatility - 9/26 - 9/30

    Weekend Review - Russell 2000 Options and Volatility - 9/26 - 9/30

    For the first time in a while the Russell 1000 was higher while the Russell 2000 lost value last week.  The numbers were slight with RUI up 0.15% and RUT down 0.26%.  For the year RUT still maintains a nice lead with three months to go in 2016. The CBOE Russell 2000 Volatility Index maintains a high spread relative to VIX continuing to hover around that 40% level.   On Monday the Russell 2000 came under a little pressure and one trader decided to take advantage of this[...]

  • Market News | Oct 1, 2016, 11:21 AM

    Weekend Review - Volatility Indexes and ETPs - 9/26 - 9/30

    Weekend Review - Volatility Indexes and ETPs - 9/26 - 9/30

    The VXST – VIX – VXV – VXMT Curve is a consistent way to look at different S&P 500 Option Implied Volatility time frames.  All four indexes moved up a bit last week, with the curve shape maintaining a pretty steep shape. The ETPs were a mixed bag last week.  VXX and the other long funds that focus on the short end of the curve were higher last week.  VXZ, which focuses on the longer end of the curve was lower, being a victim of the steep contango[...]

  • Market News | Sep 28, 2016, 11:55 AM

    Presentation at CBOE RMC on Hedging with VIX Options

    Presentation at CBOE RMC on Hedging with VIX Options

    Rocky Fishman, Equity Derivatives Strategist from Deutsche Bank Securities and Andrew Warwick, Managing Director from Blackrock teamed up to discuss Hedging with VIX Option at CBOE’s Risk Management Conference in Ireland Tuesday. They focused on evaluating VIX option strategies, not just from implementation to expiration, but also looking at the behavior of positions over a multi-week period.  A comparison was made between SPX and VIX option hedging as well as looking at when it may be[...]

  • Market News | VIX | Sep 25, 2016, 3:00 PM

    The Weekly Options News Roundup – 9/25/2016

    The Weekly Options News Roundup – 9/25/2016

    2016 Risk Management Conference Europe Tomorrow kicks off the 5th annual CBOE Risk Management Conference Europe at the Powerscourt Hotel in County Wicklow, Ireland.  The industry’s top traders, strategists and researchers will convene to discuss the latest products and strategies for managing risks, that enhance yields and lower portfolio volatility. For more information, see http://www.cboermc.com. “2016 CBOE Risk Management Conference Europe” – Hedgeweek http://bit.ly/2dahuti Options[...]

  • Market News | Trader Talk | Trade Ideas | Sep 25, 2016, 10:25 AM

    Weekend Review - Russell 2000 Options and Volatility - 9/19 - 9/23

    Weekend Review - Russell 2000 Options and Volatility - 9/19 - 9/23

    The relative performance of small caps to large caps has been phenomenal for those who picked the equity market bottom back in February.  This past week the Russell 2000 (RUT) almost doubled the performance of the large cap focused Russell 1000 (RUI) rising 2.56% versus 1.30%.  This places RUT at up 10.45% for 2016 while RUI is up a still respectable 6.06%.  The really amazing numbers shows up when we look at what RUT has done relative to RUI since February 11th of this year. [...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 24, 2016, 5:18 PM

    Weekend Review - VIX Futures and Options - 9/19 - 9/23

    Weekend Review - VIX Futures and Options - 9/19 - 9/23

    VIX reacted to the post FOMC rally by giving up just over 20% last week.  The standard September contract went off the board leaving October to take over as the front month.  With a little time until October expiration (10/19) the result has been resumption of pretty steep contango.  Of course there are some potentially market moving events between now and the end of the year so VIX futures bracing for some sort of spike may be expected. As I wrote the previous paragraph[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 24, 2016, 5:05 PM

    Weekend Review - Volatility Indexes and ETPs - 9/19 - 9/23

    Weekend Review - Volatility Indexes and ETPs - 9/19 - 9/23

    Janet Yellen spoke and volatility dropped.  I wonder if she's the kind of guest that shows up and ruins parties like she dampens any moves in S&P 500 volatility. The table below has a ton of red, as would be expected following a week where VIX drops about 20%.  I did field a question on Friday regarding last week's drop in the context of history and it ranks in about the top 50 week over week drops out of 1400 weekly observations.  VVIX continues to be resilient.  In[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 18, 2016, 2:53 PM

    Weekend Review - VIX Futures and Options - 9/12 - 9/16

    Weekend Review - VIX Futures and Options - 9/12 - 9/16

    VIX gave up a little over 12% while the futures were lower, but not nearly to the extent that spot VIX lost value.  We are back to contango in the blink of an eye. VIX options and futures trade until 3:15 Chicago time each day.  Late Friday, after the official stock market closing time of 3:00, someone came in and did a pretty interesting trade in VIX.  The trade involved a purchase of 3,000 VIX Sep 21st 20 Calls at 0.19 each and then sold 10,000 VIX Sep 21st 23 Calls[...]

  • Market News | Sep 18, 2016, 1:00 PM

    The Weekly Options News Roundup – 9/18/2016

    The Weekly Options News Roundup – 9/18/2016

    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. Global Index Options Emerging On Thursday, CBOE announced plans to launch options on the FTSE Emerging Index (FTEM) beginning September 26th.   The FTSE Emerging index is a market-capitalization weighted index that represents the performance of large and mid-cap companies from advanced and secondary emerging[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 18, 2016, 7:25 AM

    Weekend Review - Volatility Indexes and ETPs - 9/12 - 9/16

    Weekend Review - Volatility Indexes and ETPs - 9/12 - 9/16

    After a lot of zigging and zagging VIX and the other S&P 500 related volatility indexes finished lower on a week over week basis.  The curve depicting the relationship among VXST, VIX, VXV, and VXMT even returned to a historically normally shape. I found VVIX remaining over 100 interesting despite last week's drop in VIX.  Also, the drop in TYVIX is noteworthy as it occurred in front of a week where we get a Fed decision. In the exchange traded product space the long funds[...]

  • Market News | Sep 17, 2016, 12:19 PM

    Weekend Review - Russell 2000 Options and Volatility - 9/12 - 9/16

    Weekend Review - Russell 2000 Options and Volatility - 9/12 - 9/16

    Both the Russell 100 and Russel 2000 were up 0.48% last week.  For the year RUT maintains a lead of 3.10% (7.83% vs. 4.73%). Both VIX and the CBOE Russell 2000 Volatility index (RVX) lost value last week.   This took the RVX / VIX premium down to under 20% for the first time since June. First thing Friday, with the Russell 2000 around 1225, someone came into the RUT pit with a trade that is targeting a fairly wide range for the Russell 2000 at the end of the month.  The trade[...]

  • VIX | Sep 17, 2016, 10:09 AM

    Back to VIX Specials

    Back to VIX Specials

    Summer didn't draw to a close without telling us it was doing so.  If any VIX-watchers were sleeping, they're awake now. Most of the summer seemed flat and long as a football field, and while that should've been easy, I made it difficult for myself by trying from July 19th onward to profit from something that simply wasn't happening just because I wished it and staked it out repeatedly:  The return of any kind of volatility or at least the end of the silent, somnolent, stubbornly-immobile[...]