• Weekend Review of VIX Options and Futures - 3/13 - 3/17

    We got a pretty orderly shift down in the VIX curve last week as the market easily digested a rate hike by the FOMC.  Also, the March premium to spot VIX at about 0.50 is pretty narrow, however the April premium remains a bit wide based on pending events in Europe.  We have been paying attention to the VSTOXX term structure due to market concerns about the pending French election.  It appears the Dutch results pushed spot VSTOXX lower, in fact the reaction was the biggest one day[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 2:04 PM

    Weekend Review of Volatility Indexes and ETPs - 3/6 - 3/10

    The short end of the VXST – VIX – VXV – VXMT curve moved up while the longer end hardly budged.  TYVIX is at 2017 lows going into FOMC week, but it appears equity volatility may be pricing in some uncertainty in front of this week’s Fed decision.  Needless to say and already mentioned, VXST is the big attention getter on the table below with a 24% gain last week.  The Ten-Year futures dropped more in front of higher rates, but note that TYVIX, which closed[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 11:40 AM

    Weekend Review of VIX Options and Futures - 3/6 - 3/10

    VIX was higher and all VIX futures were lower last week.  We have been in a pretty steep state of contango which flattened a bit.  However, there are expectations that April will remain elevated due to market conditions in Europe.  This will be explained a little more below. The VSTOXX term structure appears below and note the elevated April futures contract price relative to the spot index (it’s impossible to miss).  This shape has been around for a while now and we’ll[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Mar 12, 2017, 10:47 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/6 - 3/10

    Last week small cap stocks took it on the chin with the Russell 2000 (RUT) dropping about 2.5% while the Russell 1000 (RUI) actually gained about 0.7%.  The divergence between the two widened to over 5% with RUI in the lead for 2017.  VIX gained a bit last week which narrowed the gap between the CBOE Russell 2000 Volatility Index (RVX) and VIX to around 40%.  This is low by 2017 standards, but still pretty high relative to the long-term history of these two indexes.  The[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Mar 6, 2017, 3:37 PM

    Tales from the Cross VIX Highway

    While traders of nothing but the Essenpee would find themselves sitting on a gain of 1.5% to nearly 2% from February 14th through today (or through Friday, March 3rd's closing price, thus the difference between quotes), traders like me who favor TVIX or UVXY would be sitting right where they started, whether short or long. See chart below for a short history of UVXY over the last nearly-three-weeks. My account performance shows a gain of several percent. How did I do that, when trading nothing[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 5, 2017, 8:08 AM

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Textbook and parallel are two terms that come to mind to described the shift in the VXST – VIX – VXV – VXMT curve below.  Also, steep comes to mind as the longer dated indexes are pretty elevated when compared to VIX and VXST. The long funds below benefited from volatility increasing a bit on Tuesday last week, with VIX even putting in a 2017 high, before resuming their downward trajectory.  Note TYVIX giving up 10% which puts the volatility of 10-Year Treasury Note options[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 25, 2017, 2:14 PM

    Weekend Review of Volatility Indexes and ETPs - 2/21 - 2/24

    VIX was the only S&P 500 related volatility index that lost value last week.  VXST rose, probably getting a boost from coming off a long weekend.  The longer dated volatility indexes mirrored the action in longer dated VIX futures by moving to the upside.  April seems to be the next month of concern among volatility players with the pending election in France.  Other pockets of volatility are showing up in the table below.  SKEW finished the week near recent highs and[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 25, 2017, 10:46 AM

    Weekend Review of VIX Futures and Options - 2/21 - 2/24

    To say that volatility was flat last week is misstating the facts.  Sure, VIX was lower, but wow, look at the rest of the curve.   All contracts were higher with April and May futures leading the way at up over 6%.  For this we will blame France, which I will explain after the VIX Table / Term Structure below. VSTOXX is basically VIX for the European markets.  Specifically, it is an index that calculates a consistent measure of implied volatility as indicated by options[...]

  • VIX | Trader Talk | Trade Ideas | Feb 20, 2017, 7:30 PM

    Weekend Review of Volatility Indexes and ETPs - 2/13 - 2/17

    VXST and VIX managed gains last week while the longer dated volatility indexes (VXV and VXMT) both lost value.  The curve created by charting out VXST, VIX, VXV, and VXMT has been steep for most of 2017 as the shorter dated indexes have been at very low levels.  The price action last week narrowed the angle to more normal levels.  Last week the S&P 500 was up just over 1.5% and VIX rose over 5%.  More on that after the table below.  I ran some numbers and this is[...]

  • Market News | VIX | Strategy | Trade Ideas | Feb 19, 2017, 9:29 AM

    Weekend Review of VIX Futures and Options - 2/13 - 2/17

    We’ve experienced several twists in the volatility markets this year where the futures don’t move in sync or in line with spot VIX.  This occurred again last week as VIX rose almost 6% while the futures markets moved lower.  Part of this may be attributed to February going off the board, at least with respect to March, but the farther date futures had been a bit elevated this year, but with the lack of any sort of volatility event appear to have started to weigh on the farther[...]

  • Weekend Review of Russell 2000 Options and Volatility - 2/13 - 2/17

    The Russell 1000 (RUI) gained about 1.5% last week and is now up over 5% for the year while the Russell 2000 (RUT) was up 0.8% and is trailing RUI up a tad more than 3% for 2017. The relative implied volatility of Russell 2000 options dropped to a historically more normal level last week after spending most of this year at the top end of the historical range. On Wednesday RUT managed to close over 1400 which bought out at least one trader with a short term bearish outlook.  With about 30[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Feb 16, 2017, 10:49 AM

    Block Trade Analysis - Large Bullish 1 x 4 VIX Option Trade

    I’m on the road today playing an academic, but regardless of how far I am from CBOE I still am fortunate that I’m constantly keep in the loop about big trades.  I got a heads up this morning that a VIX Mar 15 – 22 1 x 4 Call spread traded in the VIX pit a few minutes after the open.  My assumption was the trader bought the 15’s and sold the 22’s (I was wrong) mainly because all the big trades seem to be based on a low volatility outlook.  Also, my incorrect[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 14, 2017, 5:18 PM

    VIX and Three Day Weekends

    Another three-day weekend is sneaking up on us.  The result for those of us that have an unhealthy obsession with VIX is to talk about how a three-day weekend provides a headwind for VIX performance.  It has been awhile since I looked at the impact of holiday weekends so I downloaded data and got to work.  The reason we believe in the three-day weekend effect stems from how VIX is calculated.  VIX is a calendar day measure, so when we are approaching a day where the markets[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 12:20 PM

    Weekend Review of Russell 2000 Options and Volatility - 2/6 - 2/10

    Both the Russell 1000 (RUI) and Russell 2000 (RUT) were up about 0.80% for the week.  For the year, RUI still holds a performance lead of about 1.3%.  Just for fun and because it was a year ago this weekend that the US equity markets put in the 2016 lows I decided to see where things stood at that time.  As of February 11th of last year RUT was down 16.0% and RUI was down only 11.3%.  Man what a difference a year makes.  In the volatility space, the Russell 2000 Volatility[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 11:27 AM

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    There was a slight and uniform shift lower in the term structure of S&P 500 related volatility indexes last week.  One might say this is a case of all indexes not having much more room to drop.  An ETN I don’t mention too much was interesting to me this week.  VXZ was unchanged on the week as the longer end of the VIX futures curve was mixed.  TYVIX also rebounded a bit at concerns over interest rates had been trending lower.  The March Fed meeting concludes on[...]