• Market News | VIX | Trader Talk | Strategy | Mar 21, 2015, 2:48 PM

    The Week in Volatility Indexes and ETPs - 3/16 - 3/20

    The Week in Volatility Indexes and ETPs - 3/16 - 3/20

    I’m repeating the alteration I did last week to the term structure chart below. Instead of a week over week comparison I show the closing levels for VXST, VIX, VXV, and VXMT relative to the average levels in 2014. Note that near term volatility has thrown in the towel, but concern about a potential downturn for the equity market persists in the three and six month time frames.  Longer dated volatility is still elevated, despite dropping last week in sync with VXST and VIX. A 2.66% rally[...]

  • 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[...]

  • Market News | VIX | Trader Talk | Futures | Mar 7, 2015, 12:12 PM

    The Week in VIX Indexes and ETPs - 3/2 - 3/6

    The Week in VIX Indexes and ETPs - 3/2 - 3/6

    On Friday I was a bit distracted by trying to keep up with what was going on in Carlsbad at the CBOE Risk Management Conference while simultaneously attending the monthly residency in Oklahoma for an academic program I’m immersed in.   This morning (Saturday) I just got around to looking at the market action on Friday. I was already aware that the VIX term structure did not go into backwardation on Friday as I could see that at www.cfe.cboe.com. What surprised me is the shape of the[...]

  • VIX | Trader Talk | Education | Futures | Feb 28, 2015, 7:47 AM

    The Week in Volatility Indexes and ETPs - 2/23 - 2/27

    The Week in Volatility Indexes and ETPs - 2/23 - 2/27

    Last week was fairly quiet despite the second revision of GDP coming in a little light. We may see a little more volatility action in the coming week as on Wednesday the ADP Employment Change report is released Wednesday before the open and then the government version of the employment report coming on Friday. Both of these reports are significant as they are a first look at economic activity for February. Despite the S&P 500 losing a little value last week, with Friday to blame, the VXST –[...]

  • 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 | 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[...]

  • Education | Jan 30, 2015, 11:00 AM

    Day Three Agenda: CBOE Risk Management Conference March 6th

    Day Three Agenda: CBOE Risk Management Conference March 6th

    Day Three of the 31st Annual CBOE Risk Management Conference (RMC) on March 6th at the Hyatt Aviara in Carlsbad, California, has a terrific lineup scheduled.  RMC is well known as the premier educational forum for option professionals looking to enhance their knowledge on using equity derivatives and volatility products to manage risk.  This three-day conference 20-minutes North of San Diego should be very worthwhile.  The agenda with a list of topics and speakers for Sessions One[...]

  • 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[...]

  • Market News | VIX | Trader Talk | Futures | Dec 6, 2014, 10:09 AM

    The Week in VIX Indexes and ETPs - 12/1 - 12/5

    The Week in VIX Indexes and ETPs - 12/1 - 12/5

    With the S&P 500 racking up more record high closes last week volatility indexes dropped to levels expected when there is a strong bull market run combined with a lack of concern regarding a pull back for stock prices. We also got past the employment number, which did have a few traders on edge, without the stock market not visiting lower levels.  The next big economic event on the horizon is the FOMC Rate Decision coming out the afternoon of December 17th. Any traders concerned about the[...]