VIX Archives - Cboe Blogs

  • Technical Analysis & Charts | VIX | Futures | Strategy | Sep 6, 2016, 9:43 AM

    BigTrends.com Weekly Market Outlook - Two Month Range Continues

    BigTrends.com Weekly Market Outlook - Two Month Range Continues

    Despite a couple of scares, stocks ended last week intact, and even up just a bit thanks to Friday's gain. On the other hand, last week's action still left the S&P 500 (SPX) (SPY) along with the other indices overvalued and overbought. Whether or not that matters remains to be seen, though it's interesting that the bears had more than ample opportunity to push the market over the cliff -- but they just never did it. All the same, the first full week of the worst month of the year for stocks[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 5, 2016, 8:40 AM

    Weekend Review - Russell 2000 Options and Volatility - 8/29 - 9/2

    Weekend Review - Russell 2000 Options and Volatility - 8/29 - 9/2

    I went to the horse track for the first time in about a decade just before writing this blog.  In one race, a horse (not mine of course) steadily pulled away into the finish of a race.  That’s sort of what is happening with the Russell 2000 (RUT) performance relative to the large cap focused Russell 1000 (RUI). RUT gained almost twice as much at RUI last week (1.19% versus 0.62%).  This places RUT up 10.21% for 2016 and RUI up only 6.81%. VIX finished the week under[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Sep 4, 2016, 11:40 AM

    Weekend Review - Volatility Indexes and ETPs - 8/29 - 9/2

    Weekend Review - Volatility Indexes and ETPs - 8/29 - 9/2

    The VXST – VIX – VXV – VXMT curve does what it normally does on a pre three-day weekend week and got steeper.  It’s been a while since I ran the numbers but I’m fairly certain VXST almost always drops before a holiday weekend and then rebounds when we all return to work refreshed and ready to trade. SKEW below 130 was the first thing that stood out to me on the table below.  A quick check and I saw that it had been consistently higher than 130[...]

  • VIX | Trader Talk | Trade Ideas | Sep 3, 2016, 10:31 AM

    Weekend Review - VIX Futures and Options - 8/29 - 9/2

    Weekend Review - VIX Futures and Options - 8/29 - 9/2

    VIX finished the week just under 12.  We can attribute this to a combination of the equity market being pleased by Friday’s August Non-Farm Payroll report along with the three-day weekend effect.  Note the September futures, which settle on the 21st moved lower, but held up a bit relative to spot VIX.  This is common regardless of the directional move out of the index, but is accentuated whenever we have a long weekend. Despite there only being one trading day (and[...]

  • Market News | VIX | Futures | Aug 31, 2016, 4:21 PM

    Sept. 22 Webinar - Institutional Investors and Case Studies on Use of the VIX

    Sept. 22 Webinar - Institutional Investors and Case Studies on Use of the VIX

    On Thursday, September 22 at 2:00 p.m. E.T., S&P Dow Jones Indices and CBOE will co-host a complimentary webinar for financial professionals on the topic of -- How are Institutional Investors Using the VIX®?  Financial professionals who wish to register and see more information are welcome to visit this link -- http://bit.ly/VIX-Sep22. Featured institutional investor speakers will be: (1) John Burkhartzmeyer, State of Wisconsin Investment Board (SWIB); (2) Scott Maidel, CFA, CAIA,[...]

  • VIX | Trader Talk | Trade Ideas | Aug 30, 2016, 7:45 AM

    See a Profit, Pick it Up

    See a Profit, Pick it Up

    She sells short shares down by the SVXY shore... Or something like that goes the nursery rhyme.  But does she buy calls to go with those shares?  Probably not. Here's why I did it: I wanted a chance to benefit from the SVXY downside I envisioned without worrying excessively about the potential penalty for being significantly unfortunate in my timing/prediction.  So, feeling confident that my dream of SVXY put through the macerator would come true, I decided on a price I'd be willing[...]

  • Technical Analysis & Charts | VIX | Futures | Aug 29, 2016, 11:26 AM

    BigTrends.com Weekly Market Outlook - August 29, 2016

    BigTrends.com Weekly Market Outlook - August 29, 2016

    Unable to resist the weight of its 9% gain since its late-June low, the S&P 500 (SPX) (SPY) finally started to buckle last week. The index only lost 0.68% for the five-day span, but that was the worst weekly performance since June, and could end up serving as the profit-taking excuse some traders have been waiting for. We'll look at the matter in more detail after a closer look at last week's and this week's economic numbers. They matter more than usual now, with the prospect of rising interest[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 28, 2016, 12:24 PM

    Weekend Review - VIX Futures and Options - 8/22 - 8/26

    Weekend Review - VIX Futures and Options - 8/22 - 8/26

    VIX rose a whopping 20% last week, although that is a jump off a pretty low base.  This was in response to the S&P 500 dropping only 0.68%.  Note the curve didn’t replicate the VIX move since the futures were already discounting higher volatility.  Stated another way, the steep contango dissipated a bit as spot VIX narrowed the spread with the nearer dated futures. At least one trader appears to be expecting a further run in VIX over the next few weeks. [...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 7:30 PM

    Weekend Review - Volatility Indexes and ETPs - 8/22 - 8/26

    Weekend Review - Volatility Indexes and ETPs - 8/22 - 8/26

    The short end of the VXST – VIX – VXV – VXMT curve rose last week as volatility moved higher in reaction to comments coming from the annual get together in Jackson Hole.  The result is a bit less steepness in a curve that has been pretty darn steep the past few weeks. The long volatility funds got a small reprieve from the severe downtrend in performance that has been in place since the first quarter. SVXY gave up some performance last week and VXX along with[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 4:25 PM

    Weekend Review - Russell 2000 Options and Volatility - 8/22 - 8/26

    Weekend Review - Russell 2000 Options and Volatility - 8/22 - 8/26

    The Russell 2000 (RUT) widened the 2016 performance lead on the Russell 1000 (RUI) last week.  RUT rose 0.11% while RUI was down 0.67%.  For the year RUT is up 8.99% while RUI is up around 6.17%.  What is sort of missed is the relative performance since February’s lows.  RUT has gained 29.8% while RUI is up only 19.5% since the market bottomed earlier this year. Expected volatility rose last week but the gap between the CBOE Russell 2000 Volatility Index (RVX)[...]

  • VIX | Trader Talk | Trade Ideas | Aug 27, 2016, 11:08 AM

    Happy VIX-entines Day

    Happy VIX-entines Day

    The funniest part of my last post was the quote from my last sentence, "...VIX, which I doubt will stay the same every minute from here on out..." because it has basically stayed right where it was at the time of that writing more than a month ago.  Spanning 11-13 that day set the tone for the next month, since that's all it's done ever since (with the exception of a toe dipped in 14 yesterday), for the next 25 trading days. (*And excepting today as I've been sitting here writing this,[...]

  • Technical Analysis & Charts | VIX | Futures | Aug 22, 2016, 1:28 PM

    BigTrends.com Weekly Market Outlook - Tug Of War Continues

    BigTrends.com Weekly Market Outlook - Tug Of War Continues

    For the second week in a row, stocks were content to simply drift sideways.... the result of opposing factors simultaneously weighing on investors' mind. From one direction stocks are being buoyed by low interest rates that could linger for a while, while from the other direction the market's high valuations may be keeping a lid on things. The bulls are technically winning the war, but it's a marginal victory and the tide could turn quite easily. We'll weigh the odds in a moment. Let's[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Aug 20, 2016, 7:42 PM

    Weekend Review - VIX Futures and Options - 8/15 - 8/19

    Weekend Review - VIX Futures and Options - 8/15 - 8/19

    VIX dropped a little as the equity market did a whole lot of nothing last week.  We retired the August contract on the open Wednesday morning and September took over as the front month.  With time to go to expiration (this is actually a five-week cycle) everyone seemed to notice the steep contango again.  What is interesting below is the behavior of the curve beyond October.  November and beyond gained a little ground despite all the contracts moving up in the pecking order of[...]

  • VIX | Futures | Strategy | Aug 15, 2016, 10:12 AM

    BigTrends.com Weekly Market Outlook - On The Fence Amid Presidential Cycle

    BigTrends.com Weekly Market Outlook - On The Fence Amid Presidential Cycle

    Though the market finished on a bullish foot two Friday's ago, that tone didn't help stocks one iota last week. When all was said and done, the S&P 500 (SPX) (SPY) pretty much ended last week where it started it, and still on the fence as it's been for the better part of the past several weeks. Just for the record though, the uptrend is still the bulls' to lose. The bears just haven't been able to land any real damaging blows. We'll examine the market's odds and undertow below, after running[...]

  • Market News | Technical Analysis & Charts | VIX | Aug 8, 2016, 10:56 AM

    Weekly Market Outlook - Upside Breakout Amid VIX Lows

    Weekly Market Outlook - Upside Breakout Amid VIX Lows

    Against the odds, though with the bigger-picture tide, last Tuesday's alarming intraday pullback ended up being just the regrouping the bulls needed to finally stage a breakthrough rally.  On the heels of a better-than-expected jobs report for July, the S&P 500 (SPX) (SPY) pushed up and off a key short-term moving average line to finally punch through a resistance line that had been nagging it since mid-July. Do we take the clue at face value and treat it as a breakout?  Or, was[...]