VIX Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 10, 2016, 2:17 PM

    Weekend Review - Volatility Indexes and ETPs - 9/5 - 9/9

    Weekend Review - Volatility Indexes and ETPs - 9/5 - 9/9

    VXST more than doubled as a function of the index being depressed in front of the three-day weekend and then in reaction to Friday’s SPX sell off.  As would be expected, the rest of the VXST-VIX-VXV-VXMT curve moved higher as well, but outside of VXST relative to VIX we are still in a state of contango. The 2.39% drop in the S&P 500 all came from Friday’s price action as did just about everything else on the table below.  Note that VXX rose 11% and UVXY gained[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 10, 2016, 9:30 AM

    Weekend Review - VIX Options and Futures - 9/5 - 9/9

    Weekend Review - VIX Options and Futures - 9/5 - 9/9

    The streak of SPX doldrums came to an end on Friday with the orderly drop of over 50 points for which resulted in VIX rising to 17.50.  Everything worth noting happened on Friday which may have added to the angst that resulted in the S&P 500 closing near the daily lows and VIX closing near the daily highs. Early Friday when VIX was at 13.93 and the big move was just getting started there was a split strike trade that came into the pit.  With the October future at 16.35[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 5, 2016, 8:40 AM

    Weekend Review - Russell 2000 Options and Volatility - 8/29 - 9/2

    Weekend Review - Russell 2000 Options and Volatility - 8/29 - 9/2

    I went to the horse track for the first time in about a decade just before writing this blog.  In one race, a horse (not mine of course) steadily pulled away into the finish of a race.  That’s sort of what is happening with the Russell 2000 (RUT) performance relative to the large cap focused Russell 1000 (RUI). RUT gained almost twice as much at RUI last week (1.19% versus 0.62%).  This places RUT up 10.21% for 2016 and RUI up only 6.81%. VIX finished the week under[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 4, 2016, 11:40 AM

    Weekend Review - Volatility Indexes and ETPs - 8/29 - 9/2

    Weekend Review - Volatility Indexes and ETPs - 8/29 - 9/2

    The VXST – VIX – VXV – VXMT curve does what it normally does on a pre three-day weekend week and got steeper.  It’s been a while since I ran the numbers but I’m fairly certain VXST almost always drops before a holiday weekend and then rebounds when we all return to work refreshed and ready to trade. SKEW below 130 was the first thing that stood out to me on the table below.  A quick check and I saw that it had been consistently higher than 130[...]

  • VIX | Trader Talk | Trade Ideas | Sep 3, 2016, 10:31 AM

    Weekend Review - VIX Futures and Options - 8/29 - 9/2

    Weekend Review - VIX Futures and Options - 8/29 - 9/2

    VIX finished the week just under 12.  We can attribute this to a combination of the equity market being pleased by Friday’s August Non-Farm Payroll report along with the three-day weekend effect.  Note the September futures, which settle on the 21st moved lower, but held up a bit relative to spot VIX.  This is common regardless of the directional move out of the index, but is accentuated whenever we have a long weekend. Despite there only being one trading day (and[...]

  • VIX | Trader Talk | Trade Ideas | Aug 30, 2016, 7:45 AM

    See a Profit, Pick it Up

    See a Profit, Pick it Up

    She sells short shares down by the SVXY shore... Or something like that goes the nursery rhyme.  But does she buy calls to go with those shares?  Probably not. Here's why I did it: I wanted a chance to benefit from the SVXY downside I envisioned without worrying excessively about the potential penalty for being significantly unfortunate in my timing/prediction.  So, feeling confident that my dream of SVXY put through the macerator would come true, I decided on a price I'd be willing[...]

  • Technical Analysis & Charts | VIX | Futures | Aug 29, 2016, 11:26 AM

    BigTrends.com Weekly Market Outlook - August 29, 2016

    BigTrends.com Weekly Market Outlook - August 29, 2016

    Unable to resist the weight of its 9% gain since its late-June low, the S&P 500 (SPX) (SPY) finally started to buckle last week. The index only lost 0.68% for the five-day span, but that was the worst weekly performance since June, and could end up serving as the profit-taking excuse some traders have been waiting for. We'll look at the matter in more detail after a closer look at last week's and this week's economic numbers. They matter more than usual now, with the prospect of rising interest[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 28, 2016, 12:24 PM

    Weekend Review - VIX Futures and Options - 8/22 - 8/26

    Weekend Review - VIX Futures and Options - 8/22 - 8/26

    VIX rose a whopping 20% last week, although that is a jump off a pretty low base.  This was in response to the S&P 500 dropping only 0.68%.  Note the curve didn’t replicate the VIX move since the futures were already discounting higher volatility.  Stated another way, the steep contango dissipated a bit as spot VIX narrowed the spread with the nearer dated futures. At least one trader appears to be expecting a further run in VIX over the next few weeks. [...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 7:30 PM

    Weekend Review - Volatility Indexes and ETPs - 8/22 - 8/26

    Weekend Review - Volatility Indexes and ETPs - 8/22 - 8/26

    The short end of the VXST – VIX – VXV – VXMT curve rose last week as volatility moved higher in reaction to comments coming from the annual get together in Jackson Hole.  The result is a bit less steepness in a curve that has been pretty darn steep the past few weeks. The long volatility funds got a small reprieve from the severe downtrend in performance that has been in place since the first quarter. SVXY gave up some performance last week and VXX along with[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 4:25 PM

    Weekend Review - Russell 2000 Options and Volatility - 8/22 - 8/26

    Weekend Review - Russell 2000 Options and Volatility - 8/22 - 8/26

    The Russell 2000 (RUT) widened the 2016 performance lead on the Russell 1000 (RUI) last week.  RUT rose 0.11% while RUI was down 0.67%.  For the year RUT is up 8.99% while RUI is up around 6.17%.  What is sort of missed is the relative performance since February’s lows.  RUT has gained 29.8% while RUI is up only 19.5% since the market bottomed earlier this year. Expected volatility rose last week but the gap between the CBOE Russell 2000 Volatility Index (RVX)[...]

  • VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 11:08 AM

    Happy VIX-entines Day

    Happy VIX-entines Day

    The funniest part of my last post was the quote from my last sentence, "...VIX, which I doubt will stay the same every minute from here on out..." because it has basically stayed right where it was at the time of that writing more than a month ago.  Spanning 11-13 that day set the tone for the next month, since that's all it's done ever since (with the exception of a toe dipped in 14 yesterday), for the next 25 trading days. (*And excepting today as I've been sitting here writing this,[...]

  • Market News | Aug 26, 2016, 4:33 PM

    The Weekly Options News Roundup – 8/26/2016

    The Weekly Options News Roundup – 8/26/2016

    Options Strategy ‘Put’ In Perspective Traders in the S&P 500 Index option pit at CBOE in June.  Photo: Getty Images Pension funds are increasingly beginning to use the CBOE S&P 500 PutWrite Index (PUT) as an efficient means to garner income while providing a “cushion” from volatility during market downturns. The PUT strategy is designed to sell a sequence of one-month, at-the-money, S&P 500 Index puts and invest cash at one- and three-month Treasury Bill[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 20, 2016, 7:42 PM

    Weekend Review - VIX Futures and Options - 8/15 - 8/19

    Weekend Review - VIX Futures and Options - 8/15 - 8/19

    VIX dropped a little as the equity market did a whole lot of nothing last week.  We retired the August contract on the open Wednesday morning and September took over as the front month.  With time to go to expiration (this is actually a five-week cycle) everyone seemed to notice the steep contango again.  What is interesting below is the behavior of the curve beyond October.  November and beyond gained a little ground despite all the contracts moving up in the pecking order of[...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Aug 20, 2016, 2:00 PM

    Weekend Review - Volatility Indexes and ETPs - 8/15 - 8/19

    Weekend Review - Volatility Indexes and ETPs - 8/15 - 8/19

    For the second week in a row the S&P 500 Index related volatility indexes hardly budged. Three out of four were lower with the longest dated, VXMT, up slightly on the week. We’ve ranted and raved in various forums about how VVIX has been holding up despite a lower VIX. It was kind of like the last holdout for higher equity market related volatility until this past week when it took a 12% dive.  This puts VVIX closer to the lower end of the historical range. I guess[...]

  • Market News | Trader Talk | Strategy | Trade Ideas | Aug 20, 2016, 10:09 AM

    Weekend Review - Russell 2000 Options and Volatility - 8/15 - 8/19

    Weekend Review - Russell 2000 Options and Volatility - 8/15 - 8/19

    Sometimes I over personify the financial markets and when I saw that the Russell 2000 (RUT) easily extended the lead over the Russell 1000 (RUI) this week an Olympic themed situation popped into my head.  I saw the Russell 2000 as Usain Bolt giving a thumbs up as it easily moved farther ahead of the Russell 1000.  For the week RUT gained 0.60% while RUI was actually down by 0.01% which places the 2016 lead for RUT at just over 2% (8.88% vs. 6.86%). When VIX is low the ratio[...]