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[...]
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[...]
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[...]
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[...]
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[...]
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[...]
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[...]
VIX was little changed last week as the S&P 500 moved higher. When VIX has a ‘10’ handle and stocks move higher we tend not to see the sort of reaction we might see if VIX were at higher levels. The most interesting thing below is the front two month futures contracts. February, which goes off the board this coming week, lost 6% playing catch up with spot VIX. March dropped almost 4%, but is still at a premium of about 2.50 to spot VIX.
We get a heads up[...]
VIX is low, we all know VIX is low. I type that and feel I need to stop channeling Dr. Seuss.
However, there are some pockets of volatility in the US equity markets, we just need to know where to look. Since CBOE quotes several volatility indexes that are based on the US markets I went searching for places where the market is still pricing in a little concern about the future. Two areas that stood out – tail risk and small cap risk. Let’s start with[...]
VXST dropped while the other three volatility indexes based on S&P 500 index option pricing rose slightly. This all happened despite a rise in the S&P 500 last week.
Probably the most notable thing on the table below is the rise in VVIX despite the stock market and VIX not doing much last week.
Focusing on the VIX related ETPs shows that the trend of short volatility being the place to be in 2017 continues to hold up.
Looking outside the broad-based index volatility[...]
VIX rose slightly last week while all standard futures contracts lost value. February settlement is a week and a half off so the longer VIX remains in the 10’s the more drift lower we should expect out of the front month future.
As the front month starts to approach settlement date, VIX option traders start to focus on farther dated contracts, normally rolling to the following month. However, it seems skipping March is in vogue among VIX traders with many of last week’s[...]
Small caps continue to close the gap on large cap stocks as the Russell 2000 (RUT) gained 0.52% last week while the Russell 1000 (RUI) was up by 0.18%.
On the volatility front the CBOE Russell 2000 Volatility Index (RVX) remains at the historical high end of value relative to VIX. This can be attributed to VIX hovering around multiyear lows as much as RVX not following VIX to the lowest end of the range.
On Monday, as the first trading day of the week came to a close one trader[...]
The S&P 500 dropped a bit and VIX rose some last week. For all the fear and uncertainty that has been in the air around the beginning of the Trump era in Washington DC, the markets have remained calm and not done a whole lot in the past few weeks.
We did get January VIX options settlement last week with VRO coming in at 12.42. This is something I’m watching closely as I got a twitter question awhile back with respect to streaks where standard VIX settlement had[...]
The CBOE SKEW Index (SKEW) values, which are calculated from weighted strips of out-of-the-money S&P 500 options, generally rise to higher levels as investors become more fearful of a negative equity “black swan” event — an unexpected event of large magnitude and consequence.
Key facts about recent SKEW values --
TWO DAYS IN A ROW. SKEW closed at 143.43 on January 18, and 141.03 on January 19 (the sixth time in its 27-year history that the index closed above 140 two days in[...]
We all have our morning rituals and one of mine involves checking the daily ETF.Com email I receive at CBOE. The top story was the nominations for the annual ETF.Com awards ceremony which is scheduled for March 30th in New York. I went through the list of nominees highlighting partners of CBOE and was delighted to see the REX VolMAXX Long VIX Weekly Futures Strategy ETF (Ticker: VMAX) recognized with a nomination in two categories. VMAX has been nominated for both Most Innovative[...]