Futures Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Futures | Jan 17, 2015, 1:00 PM

    Last Week in VIX - 1/12 - 1/16

    Last Week in VIX - 1/12 - 1/16

    If the January VIX futures could speak they probably would say something like, “I told you so”. Of course the contracts can’t speak, but the point behind this is a week ago the January contract closed at a pretty substantial premium to VIX relative to recent history. A week later both the January contract and spot VIX are higher. Remember VIX futures are priced based on a risk premium associated with being short volatility or the anticipation that VIX make move up in the near term.  [...]

  • 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 | Trader Talk | Futures | Trade Ideas | Jan 10, 2015, 11:32 AM

    Last Week in VIX - 1/5 - 1/9

    Last Week in VIX - 1/5 - 1/9

    This past week was one of those where the week over week change in the VIX term structure does no justice whatsoever to the price action. The S&P 500 dropped 0.65% from Friday to Friday. However, at the worst point the S&P 500 was down 3.2% and at the highest point the S&P 500 was up 0.30% from the previous week’s closing price. In response to the rollercoaster of a week I’ve added a third curve to the graphic below. The purple and inverted line shows the term structure for[...]

  • Market News | VIX | Trader Talk | Futures | Jan 5, 2015, 5:08 PM

    Was Today's VIX Action Indicating Panic?

    Was Today's VIX Action Indicating Panic?

    While most people were watching the markets today I was running from meeting to meeting and only had a couple of chances to check out what was going on in the markets. Usually on days like this we can hear extra volume (not numerical, but audible) at The Options Institute as our offices are just above both the VIX and S&P 500 pits. I do not recall one time today hearing any outburst of activity from the floor. Once the day was over and I had a moment to check on the markets I was honestly surprised[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 8:00 PM

    Emerging Market Volatility in 2014

    Emerging Market Volatility in 2014

    Despite the Brazilian market experiencing excessive volatility in 2014, the CBOE Emerging Markets ETF Volatility Index (VXEEM – 22.26) was at relatively low levels. The iShares Emerging Markets ETF (EEM – 39.29) ended 2014 down a little over 3% which was better than many market observers were expecting. Also, note on the chart below that VXEEM ended the year about where it started the year, which stands out relative to many other volatility indexes which finished the year higher than[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 7:26 PM

    Brazilian Volatility in 2014

    Brazilian Volatility in 2014

    The chart below shows what volatility does leading up to an uncertain election in an emerging market. The CBOE Brazil ETF Volatility Index (VXEWZ – 34.21) looked more like a chart of implied volatility for a one product biotech stock in front of a do or die FDA announcement. What happened after the election was a bit unexpected, at least by the author of this blog. Post—election volatility has remained high regardless of the performance of the iShares MSCI Brazil Capped ETF (EWZ –[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 4:15 PM

    Nasdaq-100 Volatility in 2014

    Nasdaq-100 Volatility in 2014

    Of the three broad based market indexes that have tradable volatility markets, the Nasdaq-100 (NDX – 4236.28) was the clear winner in 2014. NDX rose almost 18% on the year while the S&P 500 was up 11.4% and the Russell 2000 gained only 3.5%. With the tech and biotech sector in favor for most of 2014 volatility as priced in by NDX options was relatively low. The first thought I have when I look at the table below is disbelief. I’ve said this many times and I’m truly[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 2:17 PM

    Russell 2000 Volatility in 2014

    Russell 2000 Volatility in 2014

    As tough as 2014 was for small cap stock performance as represented by the Russell 2000 (RUT – 1204.70) the index did manage to put up a positive year. At the end of the third quarter the RUT was down just over 5% on the year so all the gains (and then some) for small cap stocks came in the fourth quarter. For most of 2014 the risk perception for holding small cap stocks was justifiably high. I wrote about this earlier this week in a blog about what the CBOE Russell 2000 Index[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 1:43 PM

    Oil Volatility in 2014

    Oil Volatility in 2014

    In 2013 it was gold, this year the price of oil took it on the chin and the result was the worst performance for the United States Oil ETF (USO – 20.36) since the dark days of 2008. There are all kinds of theories over what is actually going on in the energy markets. I’m going to keep mine to myself and focus on what the numbers say. With USO dropping 42% in 2014 and most of that coming in the fourth quarter the CBOE Crude Oil ETF Volatility Index (OVX – 50.24) reached levels not[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 12:54 PM

    Gold Volatility in 2014

    Gold Volatility in 2014

    In 2014 the price of Gold did not have any of the headline grabbing moves like those that occurred in 2013. The SPDR Gold Shares ETF (GLD – 113.58) finished the year down a little over 2% and was down 1.4% on the last day of the year. If we had taken New Year’s Eve off GLD was have been practically unchanged on the year. The chart below shows the daily closing prices for GLD and the CBOE Gold ETF Volatility Index (GVZ – 20.08) for this past year. If it were not for the fourth quarter[...]

  • 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, 6:34 PM

    The Week in VIX - 12/22 - 12/26

    The Week in VIX - 12/22 - 12/26

    On Friday VIX rose as the S&P 500 hit the 52nd record high of 2014. I got a question via Twitter about VIX rising when the S&P 500 rises. About 20% of trading days witness VIX and the S&P 500 moving in the same direction, but when the S&P 500 is making a new high it may turn some heads. I think part of the small rise in VIX on Friday may be attributed to the holiday impact on the VIX calculation. What I mean by that is when we closed Wednesday the markets were closed for a day and[...]

  • 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 | Futures | Dec 24, 2014, 9:41 AM

    VIX and the Santa Claus Rally

    VIX and the Santa Claus Rally

    A couple of days ago JJ Kinahan from TD Ameritrade and a good friend of The Options Institute wrote a blog for Forbes.  His blog was about the period of time between Christmas and New Year’s. In the financial markets world this is considered a bullish time for stocks and is often called the Santa Claus rally. His comments can be found at the link below. http://www.forbes.com/sites/jjkinahan/2014/12/22/volatility-update-santa-rally-or-early-vacation-for-the-big-guy/ Since everything[...]