VIX Archives - CBOE Blogs

  • VIX | Trader Talk | Trade Ideas | Election & VIX | Oct 26, 2016, 10:47 AM

    Analyzing Equity Market Sector Risk and the Election

    Analyzing Equity Market Sector Risk and the Election

    So, what do Mexico and the Biotech industry have in common?  They both seem to be braced for excess volatility following the US Presidential election.  Before jumping into all that I’ll explain the table that sums all this up. A couple of days ago I posted a blog showing that SPX option implied volatility jumped about 2 points when comparing at the money options.   Our friends at CBOE LiveVol calculates ATM implied volatility for all option markets.  Using that information[...]

  • Market News | VIX | Trader Talk | Election & VIX | Oct 24, 2016, 4:58 PM

    "Election Certainty" Not Showing Up In SPX Options Market

    "Election Certainty" Not Showing Up In SPX Options Market

    So we keep hearing that the market is unconcerned with respect to the upcoming election or stated another way the stock market is discounting a victory by Hillary Clinton.  I am always skeptical when being told that the market thinks one thing or another without some sort of numbers to back up the statement.  With respect to the market discounting a pending event as being a non-event I always turn to volatility.  Specifically, implied volatility. If stock market participants are discounting[...]

  • Technical Analysis & Charts | VIX | Oct 24, 2016, 1:14 PM

    BigTrends.com Weekly Market Outlook - Lower Highs

    BigTrends.com Weekly Market Outlook - Lower Highs

    The bulls and the bears both took their shots at knocking the market off of the fence it's currently perched on. Neither team could get the job done. Stocks pretty much ended last week where they started it, but more than that they ended the week still trapped between a rock and a hard place. We'll look at the range bound stagnation after painting the bigger picture with the broad brush strokes of last week's and this week's economic news. Economic Data A pretty good dose of economic[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 23, 2016, 8:04 AM

    Weekend Review - Volatility Indexes and ETPs - 10/17 - 10/21

    Weekend Review - Volatility Indexes and ETPs - 10/17 - 10/21

    In a bear market we refer to market bounces as ‘relief rallies’.  The drop in volatility last week may be attributed to some sort of relief, whether with respect to expectations around the coming election or that a good part of earnings season has passed without any catastrophic results.  Whatever the reason the curve moved lower as the S&P moved up slightly and the shape is a little less steep. The long volatility funds had a tough time last week with VXX losing[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 22, 2016, 3:39 PM

    Weekend Review - VIX Futures and Options - 10/17 - 10/21

    Weekend Review - VIX Futures and Options - 10/17 - 10/21

    VIX worked lower as we all survived, endured, or got through the final debate on this Presidential election.  The stock market moving up a little probably helped the cause as well.  November took over as the front month contract and finished the week at 15.575 or a spread of just over 2.20 when compared to the spot index.  This is actually a pretty narrow spread relative to how steep the VIX curve has been over the past few months. On Friday one trader came in with the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 22, 2016, 3:10 PM

    Weekend Review - Russell 2000 Options and Volatility - 10/17 - 10/21

    Weekend Review - Russell 2000 Options and Volatility - 10/17 - 10/21

    Last week the Russell 1000 (RUI) and Russell 2000 (RUT) both gained a little ground, with RUI rising 0.41% and RUT winning the week by a nose by moving higher by 0.49%.  For the year RUT is about 3.4% higher than RUI. Both VIX and the Russell 2000 Volatility Index (RVX) were lower last week as the equity markets survived (and we endured) the final debate before the presidential election.  The RVX / VIX ratio gained a bit with the drop in volatility but is still off 2016 highs. On[...]

  • Technical Analysis & Charts | VIX | Strategy | Oct 17, 2016, 9:43 AM

    BigTrends.com Weekly Market Outlook - Damage Control

    BigTrends.com Weekly Market Outlook - Damage Control

    The bulls tried and tried, but it was a lost cause last week. Stocks never recovered from last Tuesday's stumble, and the bulls squandered their best chance to get back on a bullish track on Friday. All the major indices closed below key technical levels on Friday when the bullish effort that day petered out. Near-term the market still isn't completely past the point of no return, but it's close, and it's pointed in that direction.  However, while the tide may be pointed in a bearish direction,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 16, 2016, 10:43 AM

    Weekend Review - Volatility Indexes and ETPs - 10/10 - 10/14

    Weekend Review - Volatility Indexes and ETPs - 10/10 - 10/14

    On a percentage basis VIX was the big winner among the four S&P 500 related volatility indexes.  VIX gained just over 19% while VXST was up about 13%.  The longer end of the curve is often less responsive to drops in the stock market.  VXV and VXMT behaved as they normally do and rose about 6% and 4% respectively. The long ETPs had a nice week with the unleveraged funds gaining over 5% and the leveraged funds putting up gains of over 10%.  As I like to say, the[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 15, 2016, 9:37 AM

    Weekend Review - Russell 2000 Options and Volatility - 10/10 - 10/14

    Weekend Review - Russell 2000 Options and Volatility - 10/10 - 10/14

    The finish line for 2016 performance is starting to appear in the distance. It was starting to look like small cap stocks would rule the year, but in the past couple of weeks, large cap stocks have started to play a little catch up. Last week the Russell 2000 (RUT) dropped just over 2% while the Russell 1000 (RUI) was down just over 1%. The spread is narrowing with RUT maintaining about a 2.4% lead going into the final stretch that is 2016. When volatility moves up in the form of a higher[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 9, 2016, 8:00 AM

    Weekend Review - Volatility Indexes and ETPs - 10/3 - 10/7

    Weekend Review - Volatility Indexes and ETPs - 10/3 - 10/7

    The VXST – VIX – VXV – VXMT changed a little last week with the wings (VXST & VXMT) losing a little value and the middle section (VIX & VXV) rising slightly.  I find the drop on Friday in VXST a little perplexing as I was hearing concern with respect to a potential market reaction to the Sunday night debate.  People may have been thinking it, but VXST was not reflecting short term concerns. VIX was higher last week, but all the standard futures contracts[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 8, 2016, 2:31 PM

    Weekend Review VIX Futures and Options - 10/3 - 10/7

    Weekend Review VIX Futures and Options - 10/3 - 10/7

    The only thing that rose last week on the VIX curve below was spot VIX.  The steep contango managed to influence the futures pricing versus spot and even with a small gain in VIX, all standard futures lost value last week.   Despite the divergence in performance between VIX and the futures, we are still in pretty steep contango as the market seems to be braced for some sort of fourth quarter surprise. One trade popped up on Friday that appears to be looking for a spike[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Oct 7, 2016, 6:48 PM

    Weekend Review - Russell 2000 Options and Volatility

    Weekend Review - Russell 2000 Options and Volatility

    Large cap stocks held up relative to small caps with the Russell 2000 (RUT) losing 1.30 last week while the Russell 1000 (RUI) was down only 0.77%.  RUT still holds the 2016 lead by a fairly wide margin up 8.86Z% versus up 5.43% for RUI. Low VIX usually results in a higher RVX / VIX spread.  That contributed to the spread reaching 2016 highs this week, but I have to believe that the RUT underperformance has a part in it as well. I went searching for a RUT option trade from[...]

  • VIX | Oct 4, 2016, 9:58 AM

    CBOE and RCM Alternatives Event on VIX Futures Trading

    CBOE and RCM Alternatives Event on VIX Futures Trading

    The CBOE Options Institute is teaming up with RCM Alternatives on October 13th from 4:30 to 8:00 for a discussion and expert panel on VIX Futures and Options trading.  The even will be held at CBOE with a reception following in the Member's Lounge that overlooks the trading floor. The event will cover the current landscape and forecast for the VIX, misconceptions and facts about the structure of VIX futures, and the evolution of how this “fear gauge” has evolved as a trading instrument. After[...]

  • VIX | Oct 3, 2016, 9:59 AM

    How Would a Cubs World Series Victory Impact VIX?

    How Would a Cubs World Series Victory Impact VIX?

    The baseball regular season came to an end yesterday and the Chicago Cubs are positioned to make a historic run that most expect will end in a World Series victory.  See what happens when a trader takes control of a team.... Since many people thought this would never happen, it may also be thought of as a black swan event and we all know that black swans have a dramatic impact on market volatility and show up in an elevated level for the Chicago Board Options Exchange Volatility Index, commonly[...]

  • BigTrends.com Weekly Market Outlook - Mildly Bullish Undertow

    BigTrends.com Weekly Market Outlook - Mildly Bullish Undertow

    Stocks managed to log a gain last week, but it was a "just barely" situation. The S&P 500 (SPX) (SPY) ended only 0.1% higher than it ended the prior week, and still closed below all of its key technical resistance levels. The bulls are going to have to do better than this to achieve escape velocity. Still, the undertow remains technically bullish, and a break above the ceilings here is within easy reach. We'll look at the hurdles and weigh the odds after a quick run-down of last[...]