Election & VIX Archives - Cboe Blogs

  • VIX | Election & VIX | Jan 16, 2017, 6:53 AM

    Contrasting SPX and VIX - MLK Weekend 2016 and 2017

    Contrasting SPX and VIX - MLK Weekend 2016 and 2017

    2016 was a year lots of people would like to forget for a variety of reasons.  Personally, I had a great year and didn’t know any celebrities who will be celebrated posthumously at the various spring award shows.  If we go back 52 weeks to MLK weekend in 2016 the markets were about as opposite as they could be relative to where we are today. As a quick reminder, many market participants were nervous going into 2016, we had just experienced our first interest rate hike in years and[...]

  • Market News | Election & VIX | Jan 15, 2017, 4:00 PM

    The Weekly Options News Roundup – 1/15/2017

    The Weekly Options News Roundup – 1/15/2017

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets. Data Exchange CBOE announced on January 6, that all its historical market data formerly operated by Market Data Express (MDX) has been migrated to the CBOE Livevol Data Shop.  This action combines a comprehensive source of options, equity and exchange-traded fund (ETF) data with the customizable services offered[...]

  • VIX | Trader Talk | Futures | Trade Ideas | Election & VIX | 2016 Recap | Dec 17, 2016, 2:53 PM

    Weekend Review VIX Options and Futures 12/12 - 12/16

    Weekend Review VIX Options and Futures 12/12 - 12/16

    VIX was up slightly last week despite the markets having a relatively muted response to the first rate hike from the FOMC in just under a year.  The December VIX futures which expire this coming Wednesday actually dropped a bit as they had been slightly elevated relative to spot VIX.  One would never think the markets digested a rate hike last week by looking at the volatility market price action below. Wednesday last week there was a trader who decided volatility is going[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Dec 10, 2016, 1:56 PM

    Weekend Review - VIX Options and Futures - 12/5 - 12/9

    Weekend Review - VIX Options and Futures - 12/5 - 12/9

    VIX is experiencing some seasonal pressure despite the looming FOMC meeting (and expected rate hike) this Wednesday.  VIX finished the week with an 11 handle at 11.75.  Without the final known unknown market event of 2016 coming up next week one can only wonder where VIX would be.  The curve is steep, but that rise doesn’t really kick in until next year when the uncertainty of political change in Washington DC is probably hovering over the equity markets. Things[...]

  • Market News | Strategy | Election & VIX | 2016 Recap | Nov 29, 2016, 11:24 AM

    Election Night Option Liquidity

    Election Night Option Liquidity

    CBOE’s Extended Trading Hours (ETH) options session reached a significant milestone in the wake of the surprising U.S. election results, surpassing 100,000 contracts for the first time on November 9. CBOE introduced the ETH options session in 2015 on our SPX and VIX products. The primary motivation for offering these products during off-market hours was to provide market participants with the opportunity to react to global events at the time of those events taking place, rather than having[...]

  • Election & VIX | 2016 Recap | Nov 26, 2016, 8:59 PM

    Weekend Review - VIX Options and Futures - 11/21 - 11/25

    Weekend Review - VIX Options and Futures - 11/21 - 11/25

    VIX managed to threaten to break below 12 this past Friday as all seems right in the world.  Who would have thought all being right in the world would involve Donald Trump as our current president elect?  Before the hate mail comes, I’m neutral on this topic, the point I’m trying to make is who would have thought VIX would be so low just a couple of weeks after his upset victory?  Last week we experienced the slightest VIX curve move that I can recall.  However, when[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 19, 2016, 11:57 AM

    Weekend Review - VIX Options and Futures - 11/14 - 11/18

    Weekend Review - VIX Options and Futures - 11/14 - 11/18

    VIX returned to being a ‘tween’ this week finishing with a twelve handle.  The rest of the curve shifted lower as all fear with respect to a Trump administration seems to have dissipated.  At least for the moment.  There are some risk events between now and the end of 2016 which I’ll address after the table below. CBOE’s partner LiveVol has a great option analyzing tool and one of the features is that you can easily see At-the-Money implied volatility for different[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 15, 2016, 3:46 PM

    If a Trump Presidency Is Scary Why Is VIX So Low?

    If a Trump Presidency Is Scary Why Is VIX So Low?

    The world continues to adjust to the idea of a Trump presidency and there seems to be a lot of fear abounding.  For instance, I recently heard an economist state that he didn’t think even Donald Trump knows what action he’ll take as President.  We will all know the answers to what he’s going to do soon enough.  A question I recently got was, “If Trump is so scary why is VIX low?”  That’s a question I can answer. There are two types of government[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 13, 2016, 12:12 PM

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

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

    Regardless of the outcome, we all expected VXST to get routed last week and that’s exactly what happened.  I’ve worn this out, but the election was like an earnings announcement with respect to the broad-based equity markets.  We see volatility crushes occur on short dated options when a company reports and we saw that for SPX options this past week. The highlight of the table below is TYVIX.  Uncertainty came out of stocks, but made its way into the fixed[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 13, 2016, 7:56 AM

    Weekend Review - VIX Options and Futures - 11/7 - 11/11

    Weekend Review - VIX Options and Futures - 11/7 - 11/11

    If a tree falls in the woods and no one is there to hear it did it make a sound?  More appropriately for this space, if market fear increases during non-US market hours was there any increase in fear?  Before this election this could be a philosophical debate among those of use that follow market volatility.  Now we know that the answer is yes.  I’ve already touched on the overnight market action in November VIX futures and the S&P 500 futures contracts so I won’t[...]

  • Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 10, 2016, 7:38 PM

    Trump Victory = Divergence Between U.S. & Emerging Equity Markets

    Trump Victory = Divergence Between U.S. & Emerging Equity Markets

    Emerging market equities lead the charge in 2016 until Tuesday’s U.S. Presidential election.  Donald Trump’s victory altered that course as the markets react to potential changes in global trade.  Within the past two days, S&P 500 moves towards it’s 52-week high (2,193.81) and the FTSE Emerging Index declined by 5% from its record high from Sept. 8th (467.34) .  Although it may be too early to forecast trends in the Emerging Markets vs U.S. Large Caps, investors[...]

  • VIX | Election & VIX | 2016 Recap | Nov 9, 2016, 3:17 PM

    VIX Nov. Futures Shot Up by 55% on Election Night, but Later Retreated After Conciliatory Speech

    VIX Nov. Futures Shot Up by 55% on Election Night, but Later Retreated After Conciliatory Speech

    Four charts with big price moves over the past two days are presented in this blog. On the Tuesday election night in the United States, the reported prices for the November futures on the CBOE Volatility Index® (VIX®) rose from a low of 15.10 at 8:07 p.m. E.T., to a high of 23.46 at 10:27 p.m. E.T., an amazing rise of 55% over a 140-minute period (source: Bloomberg). Reported volume for VIX futures during non-U.S. trading hours topped 230,000 contracts both on June 24 (Brexit) and again[...]

  • About Last Night

    About Last Night

    So I spent the evening and early part of this morning watching different networks while watching the financial markets at the same time.  The chart below is a 5-minute chart showing the S&P 500 and VIX futures trading during the non-US hours trading session.  Then after 3 hours of sleep I taught my class at Loyola, spending half of that talking my students down from their disappointment at the election results.   There were a couple of things that stand out on the chart from[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 7, 2016, 4:40 PM

    On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

    On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

    Last week I heard about quite a bit of new interest in portfolio protection strategies, and on November 4 the CBOE Volatility Index® (VIX®) rose on a ninth consecutive day (a new all-time record for the VIX Index over its price history dating back to January 1990). However, on November 7, the date before the U.S. national elections, the S&P 500® Index rose 2.2%, and the percentage changes for some key volatility indexes were as follows: ·         -16.9% [...]

  • Market News | Election & VIX | 2016 Recap | Nov 7, 2016, 10:22 AM

    Election Update - Volatility Still Abundant Despite S&P 500 Rally

    Election Update - Volatility Still Abundant Despite S&P 500 Rally

    As I write this the S&P 500 is up 40.00 points on the nose and volatility is dropping.  I ran a quick update on different charts I have been using to discuss the markets and the election.  All three appear to be saying despite the stock market rally, there’s still some uneasiness with respect to tomorrow’s election. First, I’ve been watching the at the money implied volatility of SPX options expiring in November.  We have options expiring on the close today, but[...]

Special Offers
*Third Party Advertisements

Advertisement Advertisement