Cboe Blogs

From the pre-Independence day July 2nd close to this past Friday VXST was down 0.73, VIX was up by 0.04, VXV was 0.05 higher and VXMT finished 0.28 higher. VXST is sort of an anomaly as there is a 3-day weekend impact that pushes the index lower. As the week over week change does no justice in showing the actual price action from last week I included the Thursday closing curve to show that last week was anything but boring. Note on the table below both VXX (and the similar funds) and SVXY (plus[...]

We had the most exciting market action during the holiday shortened week. As everyone knows we can thanks the cradle of civilization Greece for all the hub bub. On Monday the S&P 500 was down over 2% for the first time since October of last year. VIX reacted accordingly by rising over 34% on the day for the biggest one day move in over two years. Despite the S&P 500 rebounding a bit, the VXST – VIX – VXV – VXMT curve continues to signal some concern. The VXST to VIX premium[...]

Monday of this week was one of the more exciting days we have had in 2015. That’s probably an understatement since VIX futures volume was the highest it has been this year. When the S&P 500 is down and volatility is up there are traders always looking to take the other side of the move. Either through selling volatility or through getting long the stock market. The iPath S&P 500 Short Term Futures ETN (VXX) market is one instrument that can move quickly to the upside when the S&P[...]

VIX rose less than one half one percent last week as the S&P 500 was down slightly. I would normally say there was not much change in risk perception for the broad US stock market, but that seems to be only true at the 30-day time horizon.   Note the VXST – VIX – VXV – VXMT term structure chart below shows a rise in VXST (9-day), but also a drop in VXV (3-month) and VXMT (6-month) last week. It may just be that despite the continued pushing out of the problems related[...]

The market certainly got off on the right foot last week, rallying all the way through Thursday when the NASDAQ Composite (COMP) finally cleared its all-time record high set back in March of 2000. With no other major market index completing the same feat though -- in addition to Friday's pullback somewhat extinguishing the budding rally -- we can say right now that once again stocks are caught between a rock and a hard place. We'll dissect the details below, right after a quick run-down[...]

The S&P 500 rose about 3/4% to finish the week over 2100. The term structure of volatility shifted slightly high last week, despite the gain in the S&P 500. That’s a little perplexing, until you consider the continued potential exit of Greece from the Eurozone which I hear commonly referred to as Grexit, despite some market watchers claiming the markets have grown tired of waiting for the potential Grexit to come to fruition. I have decided to try to coin a new term around this –[...]

The curve shift shown below kind of looks like the June 12th line is taking a swipe at the June 5th line with VXST throwing the punch.  Short term volatility climbed Friday relative to the other volatility measures and the result was a pretty interesting and possibly worrisome change in the VXST – VIX – VXV – VXMT curve.  Time will tell, but VXST at a premium to VIX usually is a result of a market drop or market participants having short term concerns about the equity[...]

Short term volatility rose last week based on stock market action and some impact from the holiday weekend. VXST’s 42% rise is partially attributed to the three day weekend being behind us and we can probably give a little credit to the day off Monday for the 14% rise in VIX. The issue that has nothing to do with the four day work week is the shape of the curve below which shows VXST is basically in line with VIX as of Friday's close. This is an indication that[...]

The S&P 500 moved up a little last week and the volatility curve moved lower. On the shorter dated end of the volatility term structure chart, there was the three day weekend effect which helped push VXST and VIX a tad bit lower than would be expected in front of a normal two day weekend. Just for the heck of it, I took a look at the curve 52 weeks ago and added it to the diagram below. I expected the 2015 pre-Memorial Day weekend curve to be higher than the 2014 version, but was surprised at[...]

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[...]

Despite a dip midweek, the S&P 500 recovered to put up a winning week on the heels of the non-farm payrolls report. Friday’s 28 point rally salvaged weekly performance, but this was not enough to push VIX to a week over week loss.  Since January 1990 there have been 178 weeks where the S&P 500 and VIX were both higher. I ran some quick numbers and of those 178 weeks, the S&P 500 was higher the 102 times and lower the other 76 weeks after both moved higher in sync. I was a little[...]

If you took last week off from trading and are playing a little catch up this morning the week over week term structure chart appears to say you didn’t miss much. Aa I type this I think, who would take a break when GDP and FOMC announcements are on the schedule, but now I am getting back on track. Since the picture above misses a 20 point S&P 500 drop on Thursday followed by a 20 point gain on Friday I decided to create a graph showing the lows and highs for VXST, VIX, VXV,[...]

The S&P 500 managed to reach a record high for the sixth time this year, but all the applause from bulls last week was for the Nasdaq-100 which made an all-time high for the first time in 15 years. All hail tech! All four volatility indexes that are based off S&P 500 option pricing moved lower last week and three of the four are below the 2014 average. Only VXMT, the 6 month version of VIX, remains elevated relative to the 2014 average. I guess bears may be throwing in the towel for the summer[...]

Despite an ugly Friday both VXST and VIX remains pretty low relative to recent levels. I again included the 2014 average closing levels to the chart below. This inclusion isn’t so much about noting VIX is lower, but that VXV (3 month volatility) moved above the 2014 average and VXMT (6 month volatility) remains higher than what was the average for last year. Do note that VXV got some love this past week in a discussion by Adam Warner which then led to a story on CNBC.   The links[...]

Last week the S&P 500 was strong and volatility indexes were weak. I have been focusing on where the VXST – VIX – VXV – VXMT term structure curve has been in 2015 compared to the averages last year. For the first time in a while VXV dipped below the 2014 average with only 6 month SPX implied volatility still higher than the 2014 average so there may still be a little long term concern about the equity markets looming. Over the near term VXST under 10 and VIX back to the tweens[...]