• Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 17, 2016, 3:43 PM

    VIX Front Month - Second Month Backwardation Streak Ends at 30 - So Now What???

    VIX Front Month - Second Month Backwardation Streak Ends at 30 - So Now What???

    For the first time in 2016 the front month VIX future closed at a discount to the second month.  This brings the recent streak of backwardation to an end at 30 days.  The table below shows the 10 longest first month versus second month backwardation streaks with the recent run coming in a solid fourth place. So now what?  Anyone’s guess is as good as anyone else’s, but I did some quick historical analysis.  The table below shows the 30, 90, 125, and 250[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 14, 2016, 1:07 PM

    Weekly Review - Volatility Indexes and ETPs - 2/8 - 2/12

    Weekly Review - Volatility Indexes and ETPs - 2/8 - 2/12

    Three out of the four S&P 500 volatility oriented indexes were higher last week.  The shortest dated one, VXST, dropped a little.  We attribute this to the three day weekend impact that puts pressure on VXST, but also usually results in VXST rising the day after a holiday weekend.  For example on Friday VXST dropped 17% while VIX was down 9.74%.  I guess what I’m getting at here is that we should focus on the longer dated volatility indexes on the chart below to get[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Feb 6, 2016, 3:50 PM

    Weekly Review - Volatility Indexes and ETPs - 2/1 - 2/5

    Weekly Review - Volatility Indexes and ETPs - 2/1 - 2/5

    VIX rose last week as did the rest of the volatility indexes that based their levels on S&P 500 Index (SPX) option pricing.  Usually in times of panic VXST (9-day volatility) rises above VIX (30-day volatility), but that was not the case this past week.  You can read this two ways – traders think stocks will rebound or traders are mentally prepared for more downside in the market.  I’m leaning toward the latter. I decided to leave the year to date numbers[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 30, 2016, 4:20 PM

    Weekly Review - Volatility Indexes and ETPs - 1/25 - 1/29

    Weekly Review - Volatility Indexes and ETPs - 1/25 - 1/29

    The equity market came to life last week and avoided what could have been the worst January in most of our lifetimes for stocks.  In response the four volatility indexes that are based on SPX option pricing were lower, but all four are also well above where they were to end 2015. I included a year-to-date performance column in this week’s table.  A big part of the motivation was to show the stellar performance of VXX and UVXY (along with the comparable funds) for 2016. [...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 23, 2016, 8:58 AM

    Weekly Review - Volatility Indexes and ETPs - 1/18 - 1/22

    Weekly Review - Volatility Indexes and ETPs - 1/18 - 1/22

    The S&P 500 rebounded by about 1.4% last week and SPX option volatility moved a bit lower.  The VXST – VIX – VXV – VXMT curve shifted lower and flattened.  However for a bit of perspective I show where we ended 2015.  I think the comparison is a good indication that we may not be completely out of the woods, at least based on the expectations indicated by the various S&P 500 oriented volatility measures. The rebound in the stock market put some[...]

  • Market News | Jan 17, 2016, 11:14 AM

    Weekly Review - Volatility Indexes and ETPs - 1/11 - 1/15

    Weekly Review - Volatility Indexes and ETPs - 1/11 - 1/15

    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[...]

  • A Quick Look at VIX Backwardation Streaks

    A Quick Look at VIX Backwardation Streaks

    When VIX is relatively high the VIX term structure moves into what we commonly refer to as backwardation.  The way this may be defined varies among market participants, but most focus on the shorter end of the VIX curve.  That is what I’ve been doing lately as well.  It turns out, regardless of how you define VIX backwardation 2016 has experienced more instances of it than not for the first ten days of 2016.  The tables below rank the consecutive day streaks for VIX backwardation[...]

  • Market News | VIX | Trader Talk | Futures | Jan 8, 2016, 7:30 PM

    Weekly Review - Volatility Indexes and ETPs - 1/4 - 1/8

    Weekly Review - Volatility Indexes and ETPs - 1/4 - 1/8

    The S&P 500 experienced the second worst week in performance since 2011.  For those with short memories, the worst week came about four months ago in late August.   What both these weeks have in common is China which continues to experience financial market woes and, despite their leader’s best efforts, there seems to be no end to the volatility coming out of that part of the world for the foreseeable future. The market action pushed all four S&P 500 related volatility[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jan 5, 2016, 8:22 AM

    Block Trade Analysis - VXX Bearish and Bullish Trades from Monday

    Block Trade Analysis - VXX Bearish and Bullish Trades from Monday

    Days like yesterday get me searching for volatility oriented option trades.  I found two that caught my eye in the VXX option market and debated which one to discuss in this space.  After about three seconds of internal debate I decided to just talk about both. Both trades occurred in the middle of the day yesterday, one is bearish on VXX while the other benenfits if VXX spikes to the upper 20’s.  First the bearish trade. When VXX was at 21.90 there was a seller of the VXX Jan[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Dec 19, 2015, 9:46 AM

    Weekly Review - Volatility Indexes and ETPs - 12/14 - 12/18

    Weekly Review - Volatility Indexes and ETPs - 12/14 - 12/18

    Finally, the Fed raised rates.  I’m reading Ben Bernanke’s book and it is interesting that this was being debated when he was still the chairman.  The equity market loved it and then hated it with the result being a roller coaster of a week.  The VXST – VIX – VXV – VXMT curve was on heightened alert this time last week and returned to normal to end the week.  It is rare, but we seem to have experienced an earnings like volatility crush in SPX volatility[...]

  • Market News | Dec 12, 2015, 8:30 PM

    Weekly Review - Volatility Indexes and ETPs - 12/7 - 12/11

    Weekly Review - Volatility Indexes and ETPs - 12/7 - 12/11

    I have returned from a couple of weeks in Asia speaking at CBOE’s First Asian version of CBOE’s Risk Management Conference and helping with the launch of the CBOE Options Institute at SGX in Singapore.  One of the best comments I heard at Risk Management was that when the VIX term structure is flat it indicates uncertainty with respect to the equity markets.  I think this statement translates well with respect to the chart below as well.  VIX, VXV, and VXMT all closed within[...]

  • 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 | Trade Ideas | Nov 28, 2015, 11:59 PM

    Weekly Review - Volatility Indexes and ETPs - 11/23 - 11/27

    Weekly Review - Volatility Indexes and ETPs - 11/23 - 11/27

    Very quiet holiday week.  There really isn’t much else to say, but it is interesting that VIX remains over 15.00.  I’m also attributing the rise in VXST to getting a holiday shortened week behind us.  Man I’m glad it’s not my job to fill up a business network with programming which must have been a heck of a challenge last week, especially on Friday. The funds were quiet as well, but you have to snicker when a 2.7% change (see VXX below) is considered[...]

  • 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 | VIX | Trader Talk | Futures | Nov 15, 2015, 9:09 AM

    The Week in Volatility Indexes and ETPs - 11/9 - 11/13

    The Week in Volatility Indexes and ETPs - 11/9 - 11/13

    The S&P 500 took a dive last week in what turned out to be the second worst weekly performance of 2015.  As of Friday the S&P 500 is down 1.7% for the year which would be the first noticeable loss (2011 was down less than 0.01%) since 2008.  The four volatility indexes that use S&P 500 as the underlying all shot higher.  What stands out to me is the high levels for VXV (3-month) and VXMT (6-month) on the chart below.  We are in the midst of high SPX implied volatility[...]