Cboe Blogs

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[...]

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[...]

Global stocks took it on the chin Friday after the outcome for the vote in Britain determined that the majority of voters want to break from the European Union. Usually I show the week over week change for VXST, VIX, VXV, and VXMT to lead off this blog. Because the week over week change doesn’t tell the full story I included the closing prices from Thursday as well. The lowest line on the chart shows the closing levels for each of these S&P 500 oriented volatility indexes the day before[...]

The VXST – VIX – VXV – VXMT curve moved from contango to an unusual shape this past week. Lots of things point to the markets being concerned about next week’s ‘should I stay or should I go’ vote in Britain. VXST represents short term SPX option volatility and the options that expire just after the vote are feeding that calculation.  I’m going to say results in VXST finishing the week at such an elevated level last week have a little to do with Brexit. With[...]

I’ve been around long enough to remember when the time in the markets between Memorial Day and Labor Day were quiet enough for traders to spend several afternoons at Wrigley field without feeling they were missing anything. This past week no one could have gotten away with playing hooky. As the stock market came under pressure, VIX climbed to the highest levels we have seen since February. Everyone is focused on Brexit as the ‘reason’ for the markets to be doing what they are doing.[...]

June VIX settlement is on the horizon, just two trading days and an overnight to Wednesday’s AM settlement. I mention that as a lead off in this space as I find the June futures at a premium to spot VIX kind of interesting considering VIX rose 26% last week. Admittedly, a 0.50 premium isn’t all that much, but any premium at all makes me think traders are still on edge after the S&P 500 price action last week and now going into two weeks with big known unknowns (FOMC this week[...]

Last week VIX rose every day which isn’t all that unusual.   What was ground breaking was that VIX rose each of the first three days last week despite the S&P 500 moving up as well. I decided to take a look at what has happened in the past when both the S&P 500 and VIX rise together for three consecutive days. The result, it's not as uncommon as I thought, we've had 17 occurrences of three up together.  However, the last time was in January 2013. VVIX[...]

There was a slight twist in the VXST – VIX – VXV – VXMT curve last week as the shorter dated indexes rose and the two long dated indexes dropped slightly. Although unusual, I am not reading too much into this as the curve was already pretty steep and remains so after relatively small changes across the board last week. While updating the numbers below the first thing that stood out to me was the continued elevated level of VVIX. With VIX up a bit, but still in the 15’s[...]

The S&P 500 was down 0.44% last week which places the index up only 0.65% for the year. Three out of the four S&P 500 focused volatility indexes were also lower last week, despite the drop in the S&P 500. I find the longer end of the curve holding up like it has for most of 2016 interesting as well as worrisome, at least if you are bullish on stocks. In the ETP space VXX was down by 5.11% and UVXY lost a little over twice as much at VXX. SVXY put up a decent week gaining[...]

The S&P 500 was slightly lower last week, ruining a five week winning streak.  This gave three of the four volatility indexes on the chart below a chance to rebound from 2016 lows.  The exception is VXST, but we give this one a break since three day weekends are always tough on VXST. The choppiness in the volatility space last week, along with the front month future actually losing a little value did no favors for the VIX related ETPs.  UVXY was up almost 9% for the week early[...]

Three out of the four S&P 500 based volatility indexes dropped last week with the longer term focused VXMT rising slightly.  I went on a data fishing expedition with respect to weeks where VXMT and the S&P 500 rose, but couldn’t find a definitive patters.  I even looked at the predictive power going out as far as six months and got nada.  I did find out that both the S&P 500 and VXMT have risen in sync 52 times since 2008, which is interesting and a bit surprising,[...]

The S&P 500 rose about 2.7% last week and shorter term volatility took it on the chin with VXST and VIX both down over 14%.  The longer dated volatility indexes were lower as well, but as show below, remain elevated compared to their respective averages last year.  You can read that as the market still bracing for higher volatility over the balance of 2016 (or at least until 6 months from now). The long and long leveraged VIX realted ETPs were down last week with VXX dropping[...]

This was probably the calmest week we had in the markets in 2016, which is good for the long term investors, but makes my job sort of tough.  VIX put in a 2016 closing low but do note that VXST rose last week.  This past week didn’t really have a lot of the known unknowns such as major economic numbers so short term volatility was pretty tame.  Next week we get an employment number on Friday and I am attributing the rise in VXST to that event. The long funds continued to give[...]

VXST dropped dramatically last week and closed on the lows of 2016.  VIX managed to hold up a little better and looking at the economic calendar for next week I can kind of see why.  VXST often leads VIX so a move below 20.00 next week may not be out of the question.  After I typed that sentence I realized we are only 0.53 away from the teens so it wasn’t the most daring of market predictions. This is the year I am going to focus more on the disconnection in performance[...]

In an interesting twist VIX was the underperforming index across the VXST – VIX – VXV – VXMT curve rising only 0.01 last week.  It is unusual for VIX to be an outlier like this, but even more so when we experience a three day weekend which one would expect to put some pressure on VXST relative to the longer dated volatility indexes. VXX rose about 7 ½% last week despite the paltry 0.01 gain in VIX.  We all know that VXX is not VIX or even any sort of[...]