Cboe Blogs

Although still at a historically low level, VIX showed some signs of life this past week trading above 12.00 for the first time since December 1st last year.  Standard January futures and options went off the board Wednesday morning settling well above 12.00.  The futures moved up a bit, but not nearly to the extent of spot VIX.  This may be taken as the market expecting VIX to return to historically low levels.  Of course when this has been the case for so long, why wouldn’t[...]

Both large and small cap stocks had another good week last week with the Russell 1000 (RUI) gaining 0.85% while the Russell 2000 (RUT) was up by 0.36%.  For the year RUI is up almost 5% while RUT is up just a little over 4%. We are starting to see the Cboe Russell 2000 Volatility Index (RVX) premium relative to VIX move to lower levels.  This ratio was pretty high relative to history for most of 2017 which was understandable since small caps consistently underperformed last year. Late[...]

All four volatility indexes based on S&P 500 Index option pricing moved higher last week.  I know all the talk was about the government shutdown being responsible for the rise.  However, if that were totally the case I don’t think we would be seeing VIX3M and VXMT moving up as much as they did.  I believe there’s more going on here, but I also spend most Friday evenings watching Ancient Aliens.  In the ETP space the long funds benefitted from the bump in VIX[...]

When I hosted Vol 411 this morning both the S&P 500 and VIX were higher on the day.  The SPX took a turn and finished the day lower so we didn't have a three day streak where both rose.  The results of running some numbers is below the video. As a follow up to today’s Vol 411 show I updated my numbers on the following two tables.  First, I took a look at the number of times since January 1990 through last Friday that both the S&P 500 and VIX have moved in[...]

Small caps played a little catch up with large cap stocks last week with the Russell 2000 (RUT) gaining over 2% while the Russell 1000 (RUI) was up about 1.5%.  For the year RUI has a lead of just under 0.5%. The Cboe Russell 2000 Volatility Index (RVX) to VIX premium was at historically high levels for most of 2017 averaging around 44%.  As small caps outperformed last week this premium started to come under a bit of pressure, but it still remains at pretty elevated levels. [...]

We got an interesting move in the VXST – VIX – VIX3M – VXMT curve last week.  The short end moved higher despite a nice bullish move out of stocks.  The volatility market has been a bit jumpy like we are bracing for an unforeseen spike.  We’ll see if the nervousness is justified.  I’ve been keeping a close eye on TYVIX since the bond market has been discussed pretty frequently in the financial press lately.  Until it starts to move I’m[...]

VIX gained and the futures curve dropped a bit last week. This is not totally out of the norm, but before a holiday weekend is something I cannot recall occurring in my years of watching VIX price action. Wednesday last week was the second busiest day on record in the VIX option arena.  A good portion of this can be attributed to one very large position being rolled from January to February VIX contracts.  It turns out this has been an ongoing saga starting back in the summer. [...]

In 2017 the average daily volume for the S&P 500® Weekly options (SPXW) rose to a record 523,170 contracts (35% above the 2016 figure). The year 2017 was the tenth year in a row that the SPXW Weekly options set a new volume record. MORE OPPORTUNITIES SPXW Weekly options provide many expiration opportunities, affording investors the ability to implement more targeted buying, selling and spreading strategies. SPXW options may help investors to more efficiently take advantage of major market[...]

The S&P 500 gained 2.6% to begin 2018.  VIX and the VIX futures curve reacted as one would expect with a dramatic drop in spot VIX and the futures following suit to a lesser extent.  Four seconds into the new year and the first sizable VIX trade was executed in the VIX pit.  With spot VIX at 10.90 and the January standard (1/17) future at 11.35 there was a buyer of 500 VIX Jan 17th 19.00 Puts for 7.86 who then sold 500 VIX Jan 17th 9.50 Puts for 0.07. The net cost is 7.79 and[...]

The S&P 500 rallied nicely to begin 2018 gaining 2.60% last week.  Those that predict 2018 will be a repeat of 2017 are feeling very smug this weekend, however, we have 51 weeks to go and time will tell.  SPX volatility did what it does and dropped with the strong stock market. The long funds picked up where they left off having a pretty tough week and the short funds benefitted.  I special shout out to the short VSTOXX focused ETN (EXIV) which put up a 12.6% move this week. [...]

US stocks began the year showing strength and the patter of large cap outperformance that was 2017 continued this past week.  The Russell 2000 (RUT) was up 1.6% while the large cap focused Russell 1000 (RUI) put up a 2.51% performance last week. In the volatility space, the 2017 pattern held up with the Cboe Russell 2000 Volatility Index (RVX) closing each day at a premium to VIX in the mid 40% range.  The average premium in 2017 was around 43% so like the large cap outperformance last[...]

A number of new volume and price records were set for Cboe index products in 2017, as customer demand for index options and volatility product solutions continued to grow. These records were remarkable in light of the fact that many experts said that that the markets appeared to be very complacent, as the Cboe Volatility Index® (VIX®) hit a record low in 2017. RECORD #1 – RECORD HIGH NOTIONAL VOLUME FOR SPX OPTIONS – MARKET CAPACITY When I am discussing the Cboe’s BXM and[...]

The four volatility indexes that are based on SPX option pricing were all higher last week with VXST leading the charge.  Of course, the VXST move was aided by a rebound from depressed levels that can be attributed to two three day weekends between the index calculation and the two option series used to determine the level of VXST. The VIX futures markets were mixed last week with nearer dated contracts gaining and longer dated futures losing value.  The result is a mixed back of volatility[...]

VIX rallied in the last few minutes of 2018, but didn’t take the all the futures contracts with it.  The near dated futures moved up slightly, but for the week the longer dated futures were slightly lower.  2017 is now officially the year with the lowest average close for VIX on record.  The average close was 11.09 in 2017 which is 2.30 lower than the average close for VIX in 1995.  The chart below is a favorite of mine showing the high, low, and average VIX by year from[...]

The year ended appropriately with the Russell 2000 (RUT) dropping a little more than the Russell 1000 (RUI).  RUT was down 0.48% while the large cap focused RUI lost 0.33%.  For the year large cap stocks dominated small cap stocks with RUI up over 19% and RUT lagging by over 6% rising just a bit more than 13%.  On the volatility front the Cboe Russell 2000 Volatility Index (RVX) premium to VIX dropped to finish the year very close to the long term average of around 35%.  I’ve[...]