VIX Archives - CBOE Blogs

  • VIX | Trader Talk | Education | Trade Ideas | Aug 3, 2016, 11:25 AM

    CBOE Options Institute Class to Focus on VIX and Volatility

    CBOE Options Institute Class to Focus on VIX and Volatility

    The CBOE Options Institute is hosting the first in a series of classes that will focus on different aspects of option and volatility trading. The first class, appropriately named Focus on VIX and Volatility Products, will be held on Friday August 19th at CBOE. For those unable to make it to Chicago the class is also available online. Specific topics to be covered include VIX and the behavior of volatility indexes VIX futures and options price behavior Trading VIX related Exchange Traded Products Long,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 31, 2016, 7:56 PM

    Weekend Review - Volatility Indexes and ETPs - 7/25 - 7/29

    Weekend Review - Volatility Indexes and ETPs - 7/25 - 7/29

    It was as quiet a week as I can remember with respect to the S&P 500 focused volatility indexes.  An quieter and the lines below would look like a single line. The long ETPs really suffered last week as we entered the week in very steep contango when comparing VIX with the August and September futures.  Of course what is bad for VXX is good for XIV and SVXY which both rose over 9% and up over 30% on the year.  VVIX actually rose a tad last week as well as VIX option[...]

  • Technical Analysis & Charts | VIX | Futures | Jul 25, 2016, 9:38 AM

    Weekly Market Outlook - Where We Stand As Fed Approaches & Earnings Seasons Is Underway

    Weekly Market Outlook - Where We Stand As Fed Approaches & Earnings Seasons Is Underway

    Despite starting last week out overbought and near all-time highs, the bulls decided by the end of the week they were still buying more.  Friday's close of 2175.03 was not only 0.6% higher than the prior week's close, it was a record high close for the S&P 500 (SPX) (SPY). No, it's not a giant gain, but it's an impressive one all things considered - however there are plenty of opportunities for profit-taking right now. The $64,000 question: Can the current rally last?[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 24, 2016, 6:12 PM

    Weekend Review - Volatility Indexes and ETPs - 7/18/2016 - 7/22/2016

    Weekend Review - Volatility Indexes and ETPs - 7/18/2016 - 7/22/2016

    VIX was the biggest mover among the four S&P 500 related volatility indexes this past week.  VIX dropped more than 5% while VXST lost 0.39% and VXV was down 1.19%.  Longer dated volatility actually rose last week with VXMT gaining 0.28%.  The curve remains very steep which I’m taking as uncertainty abounding with respect to the balance of 2016, especial the fourth quarter of 2016. Most the data points on the table below are as one would expect after a relatively[...]

  • VIX | Jul 24, 2016, 2:37 PM

    Weekend Review - VIX Futures and Options - 7/18/2016 - 7/22/2016

    Weekend Review - VIX Futures and Options - 7/18/2016 - 7/22/2016

    Last week VIX broke the 12 level, which surprised some market participants who felt 2016 was going to be a roller coaster ride that kept VIX at elevated levels.  I have already spent time on the Wall of Shame as I count as someone who felt VIX was spend more time around 20 than it has in several years this year. Do note on the term structure chart below that the shape of the curve is steep.  Those of us grasping at straws with respect to elevated volatility see that as a glimmer of hope[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Jul 21, 2016, 2:36 PM

    The Clean-Plate Club

    The Clean-Plate Club

    Little did I know how soon I'd be back to report on the status of the last line of my most recent post - specifically my declared hope/dream to be rid of the SVXY that became like a pebble in my shoe. Yesterday (July 20th), when VIX scraped low in the elevens and SPX scaled a steep hill, I starting thinking about and fearing a future that might not include SVXY prices more attractive than those I was seeing point-blank.  Biting the bullet and sweating through the pain, I sold all shares of[...]

  • Technical Analysis & Charts | VIX | Education | Jul 18, 2016, 10:53 AM

    Weekly Market Outlook - A Breakout Amid High Valuations

    Weekly Market Outlook - A Breakout Amid High Valuations

    The market (the S&P 500 anyway) rekindled the rally early last week, finally pushing through the resistance of its May 2015 peak at 2135 to move to a high of 2169. But, it didn't end the week with the same zeal it started it with. In fact, on Friday the index lost a little ground, and logged the first lower low in almost two weeks. A sign that the weight of the 8% gain over the past three weeks and the 16% gain since February has become too much? Possibly. Yet, that doesn't inherently mean[...]

  • VIX | Trader Talk | Trade Ideas | Jul 17, 2016, 12:00 PM

    Weekend Review - VIX Options and Futures - 7/11 - 7/15

    Weekend Review - VIX Options and Futures - 7/11 - 7/15

    With VIX testing 2016 lows this past week the soon to be retired July future headed lower at a slightly faster rate than VIX dropping 6.43% versus 4.02%.  Even with the bigger loss on the week the July contract finished the week at more than a one premium to VIX.  We will see on Wednesday morning if the futures or the spot index win the tug of war into July settlement.  I would be remiss if I didn’t point out the steepness of the VIX curve from August to December.  VIX is[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 16, 2016, 12:00 PM

    Weekend Review - Volatility Indexes and ETPs - 7/11 - 7/15

    Weekend Review - Volatility Indexes and ETPs - 7/11 - 7/15

    Short term volatility was the big loser among the four S&P 500 related volatility indexes as VXST lost over 10% last week.  This was more than two times the drop in VIX and more than three times the drop in VXV and VXMT.  The result is a pretty darn steep curve indicating concerns about the second half of this year for the stock market are lurking around in option volatility. Despite the drop in VIX the VIX of VIX rose last week.  As I typed that I realized that two[...]

  • VIX | Trader Talk | Trade Ideas | Jul 16, 2016, 7:36 AM

    Baseball, hot dogs, apple pie, and...VIX shortcake

    Baseball, hot dogs, apple pie, and...VIX shortcake

    If you can't wear shorts in the summer, when can you?  At the time of my last writing, I was showing off a pair:  TVIX and UVXY, which everyone knows are really just two legs of the same thing (for my purposes, anyway).  Even though I had donned one leg before the other (I put my pants on one leg at a time, just like everyone else), I took them both off in one motion, as such: But only one day later, my thoughts were consumed in the following manner: From WikiHow's "How[...]

  • VIX | Trader Talk | Trade Ideas | Jul 13, 2016, 12:13 AM

    When VIX and SPX Rise Together - the 2016 Version

    When VIX and SPX Rise Together - the 2016 Version

    On July 11 and July 12 both the S&P 500 and VIX rose on the day.  This brought out an old blog I wrote in 2013 discussing what the stock market has historically done when both the S&P 500 and VIX rise two days in a row.  I updated the numbers from that last study and now we have 92 occurrences where both indexes rose two days in a row (today was number 93 and the jury is still out on the subsequent market action.  The table below summarizes what the S&P 500 did on average[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Jul 11, 2016, 10:30 AM

    Weekly Market Outlook - Valuation Concerns as New All-Time Highs Approach

    Weekly Market Outlook - Valuation Concerns as New All-Time Highs Approach

    Following through on the surprising post-Brexit bounce from two weeks ago, the S&P 500 (SPX) (SPY) gained 1.3% last week, closing at 2129.90. Though that wasn't the highest close ever for the index (nor did it reach a new intraday high), that was the highest weekly close ever for the S&P 500. And, we're within easy reach of the pinnacle of 2134.72 hit in May of last year. This is a do-or-die moment for the market. If it's to muster any more upside, it's going to have to plow into new-high[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jul 10, 2016, 12:18 PM

    Weekend Review - VIX Options and Futures - 7/5/2016 - 7/8/2016

    Weekend Review - VIX Options and Futures - 7/5/2016 - 7/8/2016

    VIX finished the week at 13.20 – only 0.10 higher than lowest 2016 close of 13.10.  The front month (July) futures contract was down slightly more than VIX this past week.  Anecdotally I’ve noticed in the past when we see VIX down significantly in reaction to the employment number that the front month contract seems to give up extra value.  I attribute this to a lack of anticipated market news after the employment number until expiration. At least on trader[...]

  • VIX | Jul 10, 2016, 8:57 AM

    Weekend Review - Volatility Indexes and ETPs - 7/5/2016 - 7/8/2016

    Weekend Review - Volatility Indexes and ETPs - 7/5/2016 - 7/8/2016

    I was participating in the Vol Views podcast Friday around lunch time and decided to take a look at the whole suite of volatility indexes and see if anything was higher.  None of the 29 volatility indexes CBOE quotes were higher at that time and none of them finished higher on Friday.  The list below shows the price changes ranked on a percentage basis for yesterday. The four S&P 500 related volatility indexes moved lower last week.  The largest drop came from VIX[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jul 9, 2016, 12:07 PM

    Weekend Review - Russell 2000 Options and Volatility - 7/5/2016 - 7/8/2016

    Weekend Review - Russell 2000 Options and Volatility - 7/5/2016 - 7/8/2016

    On Thursday there was a trending hashtag on Twitter #ThursdayThoughts or something like that.  I was tempted to tweet something like “Buy on any weakness #ThursdayThoughts” but was afraid CBOE wouldn’t find the humor in something that looks like a recommendation.  However, if I had done so I would have looked darn good on Friday.  The tide took all ships higher with RUT gaining 2.4% on the day and RUI up 1.5%.  The Friday rally helped place RUT up 3.65% for the[...]