VXV Archives - Cboe Blogs

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 4, 2016, 8:47 AM

    Now Even Long Term Volatility is Reacting to the Election

    Now Even Long Term Volatility is Reacting to the Election

    A bonus with respect to the Cubs pulling off what we all thought was impossible has been a distraction from the political process we have all been enduring.  Before bringing everyone back to reality I want to throw an interesting thought out there.  If three years ago someone had said the Cubs will win the World Series and less than a week later Donald Trump would be elected President of the United States, you would think they were referring to a subplot in Back to the Future IV. We know[...]

  • Market News | VIX | Trader Talk | Futures | Aug 24, 2015, 8:20 PM

    VIX and Volatility Markets Today - 8/24/2015

    VIX and Volatility Markets Today - 8/24/2015

    First, a quick discussion of the VIX quotes from early today.  Just as the equity market opened the S&P 500 E-mini futures went limit down.  Market makers in the SPX pit at CBOE use the futures for hedging purposes so it was difficult for the traders in the pit to asses where the equity market was going and this created a pause is quoting.  Following the limit down situation there was spotty quoting in SPX and SPXW options so VIX values were not being disseminated.  The VIX[...]

  • Market News | VIX | Trader Talk | Futures | Aug 15, 2015, 8:37 AM

    The Week in Volatility Indexes and ETPs - 8/10 - 8/14

    The Week in Volatility Indexes and ETPs - 8/10 - 8/14

    Three out of four volatility indexes calculated using S&P 500 Index options to determine a consistent measure of implied volatility were lower last week. For all of 2015 the father dated volatility indexes have been elevated relative to VXST and VIX. We are now approaching a time where the potential for a rate hike is closing in. That may be the reason VXV held up last week while the other three indexes dropped. The stock market had a rocky ride, but finished the week higher. Everyone’s[...]

  • Market News | VIX | Trader Talk | Futures | Mar 14, 2015, 12:28 PM

    The Week in Volatility Indexes and ETPs - 3/9 - 3/13

    The Week in Volatility Indexes and ETPs - 3/9 - 3/13

    The S&P 500 dropped for the third consecutive week with the reaction from the S&P 500 volatility term structure chart being a slight shift to the upside. I altered the term structure graphic that appears below to show where we are right now compared to recently history. My definition of recent history is the average VXST – VIX – VXV – VXMT curve is the average in 2014. What I’ve highlighted here is the spread between the closing levels on Friday and the[...]

  • 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 | VIX | Trader Talk | Futures | Jan 31, 2015, 12:12 PM

    The Week in Volatility Indexes and ETPs - 1/26 - 1/30

    The Week in Volatility Indexes and ETPs - 1/26 - 1/30

    Friday the S&P 500 sold off and broke below the psychologically significant 2000 level. Other than being a round number that’s about all the significance I would give to 2000.  If I were still a full time trader the number I would be more concerned with is 1990. The first chart this weekend is a daily closing chart for the S&P 500. I did write a book on technical analysis (like 9 years ago) but do not claim to be a master technician. However it sure appears to me that support for[...]

  • Technical Analysis & Charts | Jan 16, 2015, 11:15 AM

    Weekly Market Commentary 1.16.15

    Weekly Market Commentary 1.16.15

    The stock market has experienced huge moves so far this year, far greater than have been seen since the fall of 2011.  There has been a lot of back forth action, but the bears seem to be gradually getting the upper hand.   Yet, the indicators are mixed and it could be that the Standard & Poors 500 Index ($SPX) is just in a wide and volatile trading range. $SPX has established support near 1990.  Below there, the next support level is at roughly 1975, and if that support is[...]

  • 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[...]