• Market News | VIX | Trader Talk | Trade Ideas | May 29, 2016, 9:26 AM

    Weekend Review - Volatility Indexes and ETPs - 5/23 - 5/27

    Weekend Review - Volatility Indexes and ETPs - 5/23 - 5/27

    The S&P 500 rally along with the three-day weekend effect pushed VXST to finish Friday below 10.00 for the first time since July of last year. The VXST - VIX - VXV - VXMT curve moved lower and steepened a bit based on the calendar and the strength in the market. Looking at the table below it is like several indexes and instruments are playing limbo seeing how low they can go. VXX and the unleveraged long ETPs lost 10% while the leveraged funds gave up almost 20%. Check[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 21, 2016, 12:47 PM

    Weekend Review - Volatility Indexes and ETPs - 5/16 - 5/20

    Weekend Review - Volatility Indexes and ETPs - 5/16 - 5/20

    With the S&P 500 zig zagging this week, but finishing up by just over a quarter of one percent the curve was little changed. With one exception, VXST dropped 10% after we got past the FOMC minutes and the markets started to look forward to nothing for the next couple of weeks. VIX and VXMT rose and VXV was lower. I can’t remember the curve shifting like this ever, but since three out of the four moves were pretty small I wouldn’t read too much into it. The long VIX related[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 15, 2016, 2:09 PM

    Weekend Review - Volatility Indexes and ETPs - 5/9 - 5/13

    Weekend Review - Volatility Indexes and ETPs - 5/9 - 5/13

    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[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 8, 2016, 1:09 PM

    Weekend Review - Volatility Indexes and ETPs - 5/2 - 5/6

    Weekend Review - Volatility Indexes and ETPs - 5/2 - 5/6

    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[...]

  • Market News | Trader Talk | Futures | Trade Ideas | May 1, 2016, 11:30 AM

    Weekend Review - Volatility Indexes and ETPs - 4/25 - 4/29

    Weekend Review - Volatility Indexes and ETPs - 4/25 - 4/29

    The weakness in the S&P 500 last week, although not really dramatic, did result in pretty big moves out of the four S&P 500 related volatility indexes. They were coming off pretty low levels which attributes to the large moves, at least on a percentage basis. The curve remains steep, which indicates the market remains concerned about whether stocks can move to the upside this year. On the table below VVIX continues to stand out finishing the week over 90.00. Two weeks ago TYVIX[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 24, 2016, 3:44 PM

    Weekend Review - Volatility Indexes and ETPs - 4/18 - 4/22

    Weekend Review - Volatility Indexes and ETPs - 4/18 - 4/22

    Very quiet weeks, like last week, usually result in a slight shift lower in the VXST – VIX – VXV – VXMT curve. Contango persists and it worked its magic on SVXY, VXX, and UVXY last week. SVXY had a good week rising over 5% while VXX gave up just about the same amount and UVXY lost over 11%. Note VVIX is remaining at relatively high levels as is SKEW.   For the year SVXY is up about 7%, VXX has lost 21% and UVXY is down 45% (after being up over 100% back in February). SVXY[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Apr 9, 2016, 3:15 PM

    Weekend Review - Volatility Indexes and ETPs - 4/4 - 4/8

    Weekend Review - Volatility Indexes and ETPs - 4/4 - 4/8

    The S&P 500 lost a little over 1.2% last week, but the impact on volatility indexes was more than one would expect from loss like that for the S&P 500. Most significant to me was that both the 3-month (VXV) and 6-month (VXMT) S&P 500 oriented volatility indexes returned to average 2015 levels. This was something I was a bit obsessed with to begin 2016. The shorter end of the curve is still below last year’s average, but a few more weeks like last week and we will be right back to[...]

  • Weekend Review - Volatility Indexes and ETPs - 3/28 - 4/1

    Weekend Review - Volatility Indexes and ETPs - 3/28 - 4/1

    Don’t fight the Fed. That’s a rule we must all live by and long volatility is a fight that isn’t winning these days. Note the drop in the week over week curves below and keep in mind that on March 24th there was a three day weekend in front of VXST which makes that drop even more dramatic. The curve is steep, which can be taken as longer term concerns prevail, but for the near term those looking for higher volatility have stopped fighting. The long funds on the table[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Mar 25, 2016, 9:19 AM

    Weekend Review - Volatility Indexes and ETPs - 3/21 - 3/24

    Weekend Review - Volatility Indexes and ETPs - 3/21 - 3/24

    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[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 19, 2016, 4:29 PM

    Weekend Review - Volatility Indexes and ETPs - 3/14 - 3/18

    Weekend Review - Volatility Indexes and ETPs - 3/14 - 3/18

    I’m honestly surprised and admitting that I have been very wrong in trying to guess at the VIX action lately.  I never would have expected a 13 handle for VIX, but low and behold that’s what we got on Friday.  When I return to work on Monday I will spend a little time on the wall of shame. Even the longer dated volatility indexes have given up the fight with VXV and VXMT closing near the respective 2015 averages after remaining at elevated levels for most of 2016. VXX[...]

  • Market News | VIX | Blogging Options | Trader Talk | Education | Strategy | Mar 12, 2016, 8:40 AM

    Weekend Review - Volatility Indexes and ETPs 3/7 - 3/11

    Weekend Review - Volatility Indexes and ETPs 3/7 - 3/11

    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,[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 6, 2016, 8:36 AM

    Weekend Review - Volatility Indexes and ETPs - 2/29 - 3/4

    Weekend Review - Volatility Indexes and ETPs - 2/29 - 3/4

    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[...]

  • Market News | VIX | Trader Talk | Education | Futures | Strategy | Feb 27, 2016, 7:00 AM

    Weekend Review - Volatility Indexes and ETPs - 2/22 - 2/26

    Weekend Review - Volatility Indexes and ETPs - 2/22 - 2/26

    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[...]

  • Market News | VIX | Trader Talk | Futures | Feb 23, 2016, 9:17 AM

    The Iceman Selleth

    The Iceman Selleth

    Sometimes it's worth letting something simmer on the stove a while to get impressive results, or in this case it's more like letting something ferment in earthenware pots buried in a forgotten location. But the feast five months later is worth the wait and the worry! Back in September I asked an offhand question of my fellow trader, @Option_Iceman, and received no offhand reply; I quickly forgot about the matter and didn't revisit it again until an answer emerged just a few days ago. The curiosity[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Feb 21, 2016, 11:39 AM

    Weekend Review Volatility Indexes and ETPs - 2/16 - 2/19

    Weekend Review Volatility Indexes and ETPs - 2/16 - 2/19

    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[...]