VIX Archives - Cboe Blogs

  • VIX | Jul 24, 2016, 2:37 PM

    Weekend Review - VIX Futures and Options - 7/18/2016 - 7/22/2016

    Weekend Review - VIX Futures and Options - 7/18/2016 - 7/22/2016

    Last week VIX broke the 12 level, which surprised some market participants who felt 2016 was going to be a roller coaster ride that kept VIX at elevated levels.  I have already spent time on the Wall of Shame as I count as someone who felt VIX was spend more time around 20 than it has in several years this year. Do note on the term structure chart below that the shape of the curve is steep.  Those of us grasping at straws with respect to elevated volatility see that as a glimmer of hope[...]

  • Market News | Trader Talk | Trade Ideas | Jul 24, 2016, 2:01 PM

    Weekend Review - Russell 2000 Index and Options - 7/18/2016 - 7/22/2016

    Weekend Review - Russell 2000 Index and Options - 7/18/2016 - 7/22/2016

    Last week the performance for the Russell 1000 (RUI) and Russell 2000 (RUT) was as close as I’ve seen it since I’ve been doing these blogs.  RUI gained 0.67% and RUT was higher by 0.65% for what we will say is within the margin of error (I’m stealing from the political polls).  For the year RUT is maintaining a small lead on RUI up 6.78% versus 6.40%.  This is the second week in a row with RUT in the lead which is pretty impressive considering back in February RUT[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Jul 21, 2016, 2:36 PM

    The Clean-Plate Club

    The Clean-Plate Club

    Little did I know how soon I'd be back to report on the status of the last line of my most recent post - specifically my declared hope/dream to be rid of the SVXY that became like a pebble in my shoe. Yesterday (July 20th), when VIX scraped low in the elevens and SPX scaled a steep hill, I starting thinking about and fearing a future that might not include SVXY prices more attractive than those I was seeing point-blank.  Biting the bullet and sweating through the pain, I sold all shares of[...]

  • VIX | Trader Talk | Trade Ideas | Jul 17, 2016, 12:00 PM

    Weekend Review - VIX Options and Futures - 7/11 - 7/15

    Weekend Review - VIX Options and Futures - 7/11 - 7/15

    With VIX testing 2016 lows this past week the soon to be retired July future headed lower at a slightly faster rate than VIX dropping 6.43% versus 4.02%.  Even with the bigger loss on the week the July contract finished the week at more than a one premium to VIX.  We will see on Wednesday morning if the futures or the spot index win the tug of war into July settlement.  I would be remiss if I didn’t point out the steepness of the VIX curve from August to December.  VIX is[...]

  • Market News | Jul 17, 2016, 8:00 AM

    Weekend Review - Russell 2000 Index and Options - 7/11 - 7/15

    Weekend Review - Russell 2000 Index and Options - 7/11 - 7/15

    It was quite a week for small cap stocks as the Russell 2000 (RUT) rose 2.4% while the Russell 1000 (RUI) gained 1.5%.  This strong week for RUT places the index up 6.11% for 2016, a tad more than RUI’s 2016 gain of 5.71%.   Even more impressive for RUT, the small cap index is up 26.4% since putting in a closing low of 953.72 back in February. In the volatility space both VIX and the CBOE Russell 2000 Volatility Index were lower last week.  The RVX / VIX premium[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 16, 2016, 12:00 PM

    Weekend Review - Volatility Indexes and ETPs - 7/11 - 7/15

    Weekend Review - Volatility Indexes and ETPs - 7/11 - 7/15

    Short term volatility was the big loser among the four S&P 500 related volatility indexes as VXST lost over 10% last week.  This was more than two times the drop in VIX and more than three times the drop in VXV and VXMT.  The result is a pretty darn steep curve indicating concerns about the second half of this year for the stock market are lurking around in option volatility. Despite the drop in VIX the VIX of VIX rose last week.  As I typed that I realized that two[...]

  • VIX | Trader Talk | Trade Ideas | Jul 16, 2016, 7:36 AM

    Baseball, hot dogs, apple pie, and...VIX shortcake

    Baseball, hot dogs, apple pie, and...VIX shortcake

    If you can't wear shorts in the summer, when can you?  At the time of my last writing, I was showing off a pair:  TVIX and UVXY, which everyone knows are really just two legs of the same thing (for my purposes, anyway).  Even though I had donned one leg before the other (I put my pants on one leg at a time, just like everyone else), I took them both off in one motion, as such: But only one day later, my thoughts were consumed in the following manner: From WikiHow's "How[...]

  • VIX | Trader Talk | Trade Ideas | Jul 13, 2016, 12:13 AM

    When VIX and SPX Rise Together - the 2016 Version

    When VIX and SPX Rise Together - the 2016 Version

    On July 11 and July 12 both the S&P 500 and VIX rose on the day.  This brought out an old blog I wrote in 2013 discussing what the stock market has historically done when both the S&P 500 and VIX rise two days in a row.  I updated the numbers from that last study and now we have 92 occurrences where both indexes rose two days in a row (today was number 93 and the jury is still out on the subsequent market action.  The table below summarizes what the S&P 500 did on average[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jul 10, 2016, 12:18 PM

    Weekend Review - VIX Options and Futures - 7/5/2016 - 7/8/2016

    Weekend Review - VIX Options and Futures - 7/5/2016 - 7/8/2016

    VIX finished the week at 13.20 – only 0.10 higher than lowest 2016 close of 13.10.  The front month (July) futures contract was down slightly more than VIX this past week.  Anecdotally I’ve noticed in the past when we see VIX down significantly in reaction to the employment number that the front month contract seems to give up extra value.  I attribute this to a lack of anticipated market news after the employment number until expiration. At least on trader[...]

  • VIX | Jul 10, 2016, 8:57 AM

    Weekend Review - Volatility Indexes and ETPs - 7/5/2016 - 7/8/2016

    Weekend Review - Volatility Indexes and ETPs - 7/5/2016 - 7/8/2016

    I was participating in the Vol Views podcast Friday around lunch time and decided to take a look at the whole suite of volatility indexes and see if anything was higher.  None of the 29 volatility indexes CBOE quotes were higher at that time and none of them finished higher on Friday.  The list below shows the price changes ranked on a percentage basis for yesterday. The four S&P 500 related volatility indexes moved lower last week.  The largest drop came from VIX[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 9, 2016, 12:07 PM

    Weekend Review - Russell 2000 Options and Volatility - 7/5/2016 - 7/8/2016

    Weekend Review - Russell 2000 Options and Volatility - 7/5/2016 - 7/8/2016

    On Thursday there was a trending hashtag on Twitter #ThursdayThoughts or something like that.  I was tempted to tweet something like “Buy on any weakness #ThursdayThoughts” but was afraid CBOE wouldn’t find the humor in something that looks like a recommendation.  However, if I had done so I would have looked darn good on Friday.  The tide took all ships higher with RUT gaining 2.4% on the day and RUI up 1.5%.  The Friday rally helped place RUT up 3.65% for the[...]

  • Market News | Jul 9, 2016, 9:54 AM

    The Weekly Options News Roundup – 7/8/2016

    The Weekly Options News Roundup – 7/8/2016

    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. More Tools for “Target Outcome Investing” CBOE announced this week that it has created a series of 13 “enhanced growth indexes,” the second in a family of options-based strategy performance benchmarks designed to target the outcomes of specific investment strategies. These benchmarks measure[...]

  • VIX | Jul 7, 2016, 2:54 PM

    VIX Roll-Over: Sigma Channels, Sentiment Readings & Order Flow Color

    VIX Roll-Over: Sigma Channels, Sentiment Readings & Order Flow Color

    Chart 1: VIX Sigma Channels Chart Worth noting is that VIX hit +3 sigma on Thursday before last in post-Brexit trading, creating the second spike in volatility for CY 2016.  While June lows of SPX are expected to be tested, the timing ideally should be a bit further out in late July, with spot VIX targeting 24 to 27 range, as this retest in volatility comes in about 4-5 weeks apart. Chart2: VIX Futures 3-mo. Spread Indicator     This 3-mo spread is favorite of[...]

  • Market News | Jul 4, 2016, 6:58 AM

    Weekend Review - Volatility Indexes and ETPs - 6/24 - 7/1

    Weekend Review - Volatility Indexes and ETPs - 6/24 - 7/1

    In hindsight volatility definitely overshot to the upside in response to Brexit and the price action on Monday where VIX and the S&P 500 both moved lower together was a sign of things to come last week. The 42.66% drop in VIX was the biggest week over week drop on record (going back to 1990). The whole VXST – VIX – VXV – VXMT underwent a shift from one extreme to the other last week. SKEW put in an all-time high and then backed off to more normal levels. TYVIX also[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Trade Ideas | Jul 3, 2016, 9:20 AM

    Weekend Review - VIX Futures and Options - 6/27 - 7/1

    Weekend Review - VIX Futures and Options - 6/27 - 7/1

    The curve below is what happens when you have the biggest week over week drop for VIX on record. The 42% loss in VIX shattered the previous largest drop of 36.53% which occurred in the last week of 2012. Not so coincidentally both were weeks before a three-day weekend. Late Monday, with the July VIX Futures at 23.70 and spot VIX at 23.85 someone came in taking a long position in the VIX Jul 20th 22 Puts paying 2.75. The payoff at July settlement appears below, but by the end of the week[...]