VVIX Archives - Cboe Blogs

  • Market News | Dec 5, 2015, 9:56 PM

    Weekly Review - Volatility Indexes and ETPs - 11/30 - 12/4

    Weekly Review - Volatility Indexes and ETPs - 11/30 - 12/4

    This week I’m reporting in from Singapore where we are about to open the Asian version of The Options Institute at the Singapore Exchange (SGX).  I don’t have a feel for the market activity from last week, but I can read the numbers and can only imagine what a ride it was for some traders last week.  I added the Thursday close to the VXST – VIX – VXMT – VXV graph that shows up below since a week over week chart just doesn’t do justice to what occurred[...]

  • Market News | VIX | Trader Talk | Strategy | Nov 21, 2015, 11:37 AM

    The Week in Volatility Indexes and ETPs - 11/16 - 11/20

    The Week in Volatility Indexes and ETPs - 11/16 - 11/20

    The shift for the VXST – VIX – VXV – VXMT curve was dramatic, but sort of what we have become use to in this buy on the dip culture.  VIX finished the week under 16.00, which voids a prediction that I had for the rest of the year.  I felt concerns about a December rate hike and the impact on stocks into 2016 would keep VIX elevated for the final few weeks of the year. VXX and the other long funds came under pressure based on the drop in VIX and VIX futures[...]

  • Market News | Oct 31, 2015, 12:35 PM

    The Week in Volatility Indexes and ETPs - 10/26 - 10/30

    The Week in Volatility Indexes and ETPs - 10/26 - 10/30

    When I do these blogs I get the data, create the graphics and look at the markets.  I share these mundane facts about my ‘process’ to make a point about the diagram below.  Last week we got an FOMC meeting (although one without a press conference) and GDP number behind us without the stock market did not reacting negatively.  We are looking forward to the October employment report that comes out this Friday, but we did get two of the big three economic events behind us. [...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Oct 17, 2015, 6:57 AM

    The Week in Volatility Indexes and ETPs - 10/12 - 10/16

    The Week in Volatility Indexes and ETPs - 10/12 - 10/16

    VIX closed under 16.00 for the first time since all the hubbub that occurred in late August as the S&P 500 continued to recover last week gaining 0.90%.  Among the four S&P 500 focused volatility Indexes VIX was the biggest loser shedding almost 12%.  I had been keeping a close eye on VXV as the 3 month time frame that VXV measures comes after the December FOMC announcement.  VXV fell a bit relative to VXMT (6 month volatility) which may be a FOMC indicator and may also be[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Aug 29, 2015, 7:55 AM

    The Week in Volatility Indexes and ETPs - 8/24 - 8/28

    The Week in Volatility Indexes and ETPs - 8/24 - 8/28

    Under no circumstances does the week over week change in the VXST – VIX – VXV – VXMT curve tell the story of last week.  There’s something worth noting, but last week is not done any justice at all if a line showing Monday closing prices is not included, therefore it is. What strikes me as noteworthy about the week over week change in something that is very subtle on the term structure chart that appears above.  Note that VXV and VXMT actually rose last[...]

  • Market News | VIX | Trader Talk | Futures | May 16, 2015, 2:31 PM

    The Week in Volatility Indexes and ETPs - 5/11 - 5/15

    The Week in Volatility Indexes and ETPs - 5/11 - 5/15

    There was a slight shift in the VXST – VIX – VXV – VXMT term structure last week. VXST and VIX were down, VXV was actually up slightly and VXMT dropped. Relative to history, VXV and VXMT are higher than you would expect with the S&P 500 making all-time highs. I’m convinced the market is braced for a difficult end to 2015. VXX and the other long oriented ETPs continue to grind lower as VIX stays at low levels and the futures maintain contango. SKEW stands out[...]

  • VIX | Trader Talk | Education | Futures | Feb 21, 2015, 10:53 AM

    The Week in Volatility Indexes and ETPs - 2/16 - 2/20

    The Week in Volatility Indexes and ETPs - 2/16 - 2/20

    Usually it is pretty easy for me to come up with something new to say regarding what went on the volatility markets last week. However, it has been a lot of the same for a pretty long time now. We have now experienced three all-time highs for the S&P 500 in 2015, which is three more than some forecasters thought we’d see, and VIX is working down to levels we were accustomed to over the past couple of years. Friday’s VIX close of 14.30 is just a tad higher than the average VIX close[...]

  • Market News | Feb 6, 2015, 8:36 PM

    The Week in Volatility Options and ETPs - 2/2 - 2/6

    The Week in Volatility Options and ETPs - 2/2 - 2/6

    A big up week for the S&P 500 resulted in the VXST – VIX – VXV – VXMT term structure curve returning to contango after going into backwardation to end the previous week. This sort of action is wearing thin for guys on the floor. I was even pulled aside and told that there seems to be a sort of ‘seller’s exhaustion’ when the market moves dramatically in one direction or another.   I’ll speak to that topic more after discussing the ETPs. There[...]

  • Market News | VIX | Trader Talk | Education | Futures | Jan 24, 2015, 10:06 AM

    The Week in Volatility Indexes and ETPs - 1/20 - 1/23

    The Week in Volatility Indexes and ETPs - 1/20 - 1/23

    Last week was another roller coaster ride for the equity market and subsequently the volatility markets. The VXST – VIX – VXV – VXMT volatility curve shifted back into contango and shook off a mild market drop on Friday to stay that way. With VIX having a 16 handle, I am beginning to wonder if traders are reaching an exhaustion point from reacting to dramatic down days in stock prices. The long volatility funds such as VXX had a tough week losing around 9%, again despite[...]

  • Market News | VIX | Trader Talk | Futures | Jan 16, 2015, 8:26 PM

    Last Week in Volatility Indexes and ETPs - 1/12 - 1/16

    Last Week in Volatility Indexes and ETPs - 1/12 - 1/16

    Despite Friday’s rally, the S&P 500 was down four of five days and gave up about 1.25% last week. At the worst point the S&P 500 was down over 3% on the week and then of course it shook off the dip and rallied to end the week. You can’t keep a good market down nor does it appear can the bears keep this market down either. All four of the S&P 500 oriented volatility indexes were higher for the week. And the curve became slightly inverted. VXST is higher than the three other[...]

  • Market News | VIX | Trader Talk | Futures | Jan 11, 2015, 8:00 AM

    Last Week in Volatility Indexes and ETPs - 1/5 - 1/9

    Last Week in Volatility Indexes and ETPs - 1/5 - 1/9

    When we have volatile weeks like last week I will alter the various term structure of volatility charts included in these blogs. The first graphic is an example of this where I added Tuesday’s closing levels for VXST, VIX, VXV, and VXMT to the typical week over week curve. Something that really stands out to me on this graphic is the shape of the Tuesday close. There is no inversion with VXST moving to a premium relative to VIX and the levels at the far end of the curve (VXV and VXMT) are at[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 11:40 AM

    Volatility Indexes and ETPs in 2014

    Volatility Indexes and ETPs in 2014

    During the first half of 2014 I got to have several conversations about whether or not VIX was ‘broken’ since the average level for VIX was so low. Needless to say I haven’t fielded a single call or email about VIX being broken since October. 2014 was a pretty interesting year in volatility trading. More market participants have become involved in the volatility markets through VIX future, options, or ETPs. The table below shows the year over year change for the S&P 500, volatility[...]

  • Market News | VIX | Trader Talk | Futures | Dec 27, 2014, 10:37 AM

    The Week in Volatility Indexes and ETPs - 12/22 - 12/26

    The Week in Volatility Indexes and ETPs - 12/22 - 12/26

    This past week the S&P 500 recorded a record high on 3 of the 4 trading days with Friday being number 52 in 2014. I did some digging on this topic and 52 new highs in a year is less than the number of new highs just last year. Last year the S&P 500 set 69 new highs, but that still isn’t the record number of new highs in a single year. 1995 holds that distinction with the S&P 500 closed at a record level 77 times. The term structure curve is returning to normal based on the price[...]

  • Market News | VIX | Trader Talk | Dec 20, 2014, 10:09 AM

    The Week in Volatility Indexes and ETPs - 12/15 - 12/19

    The Week in Volatility Indexes and ETPs - 12/15 - 12/19

    Santa Claus did not disappoint and his annual rally took the S&P 500 up 3.41% last week.   That move took the air out of the four S&P 500 related volatility indexes with VXST leading the way and losing over 40%.   The curve shift formed the week over week ‘horn’ which I guess is appropriate for the season. Sticking with a theme I’ve been all over this quarter the S&P 500 is only a few points from setting another record high. Despite[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Dec 13, 2014, 9:25 AM

    The Week in Volatility Indexes and ETPs - 12/8 - 12/12

    The Week in Volatility Indexes and ETPs - 12/8 - 12/12

    The VXST – VIX – VXV – VXMT curve shift was the most dramatic change I have seen since writing these blogs. Of course VXST is just a little over a year old so there’s not too much history for comparison. I am more intrigued by the right side of the curve with VXV and VXMT in the 20’s. As a reminder VXV is a 3 month version of VIX and VXMT measures 6 month implied volatility. Those two indexes moving above 20 and in line with VIX indicate some real concern for the S&P[...]