VIX Archives - CBOE Blogs

  • VIX | Trader Talk | Trade Ideas | Jun 7, 2016, 2:41 PM

    Plans are Meant for Re-Planning

    Plans are Meant for Re-Planning

    At my last writing on Tuesday, May 17th, I had just sold to open SVXY 55.50 puts for the May 20th expiration at 1.45 per contract.  My pledge was to stick to my plan and that's what I did:  I let those expire and realized full profit over the weekend when the contract expired worthless to the buyer.  It was rough going, though, with the high, low, and close of SVXY over the intervening days as shown below:   SVXY's closing price on Friday, May 20th was over $55.50,[...]

  • VIX | Education | Futures | Strategy | Jun 7, 2016, 10:35 AM

    BPVIX Index Hits Highest Level Since 2009, as Investors Manage Brexit Risk

    BPVIX Index Hits Highest Level Since 2009, as Investors Manage Brexit Risk

    On Monday the CBOE/CME FX British Pound Volatility Index (BPVIX) closed at 22.59, its highest daily close since March 2009, and the BPVIX Index has risen 161.8% so far this year (through June 6). A number of news articles have noted that the implied volatility for British Pound has risen during the past month because of concern about the upcoming June 23 Brexit referendum. Recent headlines for news stories included (1) “Pound Falls, Volatility Jumps as Polls Show Momentum for Brexit”[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Jun 6, 2016, 12:01 PM

    BigTrends.com Weekly Market Outlook - Mini-Trading Range Developing

    BigTrends.com Weekly Market Outlook - Mini-Trading Range Developing

    All things considered, the market held up quite well last week in spite of plenty of reason not to. The S&P 500 (SPX) (SPY) ended the shortened trading week with a very slight gain, and also ended the week with the bulls testing the waters of higher highs after defining a near-term floor. And yet, its failure to actually make forward progress, even though it tried to do so, is concerning in itself. We'll take a closer look at the trading range that developed last week and what it will take[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 5, 2016, 1:55 PM

    Weekend Review - Volatility Indexes and ETPs - 5/31 - 6/3

    Weekend Review - Volatility Indexes and ETPs - 5/31 - 6/3

    The whole curve shifted a bit higher last week. We have to attribute the rise to the three-day weekend effect. At least in the case of VXST and VIX. Typically, VXV and VXMT are not impacted as much as the shorter dated volatility indexes. I might attribute the rise of longer dated volatility to the expected date for the next rate hike being pushed down the road. Despite the rise in VIX last week, the long volatility oriented ETPs were lower on the week. This is a function of the futures[...]

  • VIX | Trader Talk | Trade Ideas | Jun 4, 2016, 5:54 PM

    Weekend Review - VIX Options and Futures - 5/31 - 6/3

    Weekend Review - VIX Options and Futures - 5/31 - 6/3

    The S&P 500 was slightly higher last week and so was VIX, but we put an asterisk next to that number based on the three-day holiday weekend. The futures tell more of the story and as you can see below as with the exception of the February 2017 contract all the futures moved lower. Friday morning the stock market was weak and VIX was higher in reaction to the employment numbers. With VIX at 13.93 and the Jun VIX futures contract at 15.10 someone came in and bought 2500 of the VIX Jun[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 4, 2016, 12:05 PM

    Weekend Review - Russell 2000 Index and Volatility - 5/31 - 6/3

    Weekend Review - Russell 2000 Index and Volatility - 5/31 - 6/3

    The Russell 2000 - How about that??? I hear Mel Allen’s voice as I type that. Small caps went on a relative tear last week with the Russell 2000 (RUT) rising 1.19% last week while the large cap focused Russell 1000 was up 0.10%. This places RUT up 2.49% for 2016, within striking distance of the Russell 1000 which is up 2.73% year to date. More impressive is the relative performance since the lows in February. RUT has rebounded 22.1% off this year’s closing low and RUI is up 15.6% over[...]

  • Market News | VIX | Trader Talk | Education | Jun 3, 2016, 1:54 PM

    The Weekly Options News Roundup – 6/3/2016

    The Weekly Options News Roundup – 6/3/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets. VIX FIX – Volatility’s Summer Lull It’s been another uneventful week for stocks, which remained relatively unchanged.   As summer approaches and temperatures heat up, volatility has remained calm, cool and collected.  Even an impending vote on U.K.’s Brexit and today’s disappointing[...]

  • Technical Analysis & Charts | VIX | Futures | May 31, 2016, 10:20 AM

    BigTrends.com Weekly Market Outlook - Key Remaining Hurdles

    BigTrends.com Weekly Market Outlook - Key Remaining Hurdles

    If anything, last week's economic and earnings news was on the weak side. That didn't stop the bulls from going on a rampage though. The S&P 500 (SPX) (SPY) gained a solid 2.5% last week, carrying the index to mew multi-week highs. The BigTrends TrendScore ended the week with a score of 93.5 (out of 100). That's about as bullish as it gets. Can it last? That remains to be seen. The argument that there's just not much valuation room for more upside still makes sense, and we don't have a key buy[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 29, 2016, 9:26 AM

    Weekend Review - Volatility Indexes and ETPs - 5/23 - 5/27

    Weekend Review - Volatility Indexes and ETPs - 5/23 - 5/27

    The S&P 500 rally along with the three-day weekend effect pushed VXST to finish Friday below 10.00 for the first time since July of last year. The VXST - VIX - VXV - VXMT curve moved lower and steepened a bit based on the calendar and the strength in the market. Looking at the table below it is like several indexes and instruments are playing limbo seeing how low they can go. VXX and the unleveraged long ETPs lost 10% while the leveraged funds gave up almost 20%. Check[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 28, 2016, 2:41 PM

    Weekend Review - VIX Futures and Options - 5/23 - 5/27

    Weekend Review - VIX Futures and Options - 5/23 - 5/27

    With the strength in stocks last week VIX finished the week just 0.02 higher than the 2016 closing low of 13.10. Always remember that part of the equation on Fridays when looking at VIX performance relates to a weekend impact where the market is closed for two days. This is accentuated when we have a three day holiday weekend so don’t be surprised if VIX rebounds a little on Tuesday regardless of what the stock market is doing. About 20 minutes after the open on Wednesday last week someone[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 28, 2016, 9:18 AM

    Weekend Review - Russell 2000 Index and Volatility - 5/23 - 5/27

    Weekend Review - Russell 2000 Index and Volatility - 5/23 - 5/27

    Small cap stocks continue to show some strength with the Russell 2000 (RUT) beating the Russell 1000 (RUI) for the second week in a row. Is this the beginning of a streak? RUT rose 3.43% last week while the large cap focused RUI gained 2.28%. For the year RUT is now up 1.28%, still lagging RUI which is up 2.63%. The RVX / VIX premium remains at the high end of this year’s range, despite the strong performance from small cap stocks. It may be that the uncertainty about the Fed’s[...]

  • VIX | Education | May 27, 2016, 2:35 PM

    The Weekly Options News Roundup - 5/27/2016

    The Weekly Options News Roundup - 5/27/2016

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast, online and social media outlets. CBOE Expanding its Orbit with Eris CBOE announced on Monday that it has made minority equity investment in Eris Exchange Holdings. Eris is a U.S.-based futures exchange group that offers swap futures as a capital-efficient alternative to over-the-counter swaps.  CBOE’s stake in Eris, much like its partnership[...]

  • VIX | Trader Talk | Futures | May 26, 2016, 3:41 PM

    VIX History Lesson - The Fiscal Cliff of 2012

    VIX History Lesson - The Fiscal Cliff of 2012

    I got a question on Twitter today about the potential for a volatility short squeeze. I think the question was rooted in how much activity and open interest there is in volatility oriented derivatives, but the instance I recall that felt like the move was overdone occurred in late 2012. As the end of 2012 approached it appeared that the President and Congress were at an impasse over extending the Bush Tax Cuts from 2001. The pending result was commonly referred to as the ‘fiscal cliff’.[...]

  • Market News | Technical Analysis & Charts | VIX | Futures | Strategy | May 23, 2016, 9:49 AM

    BigTrends.com Weekly Market Outlook - Neutral With Downside Risk

    BigTrends.com Weekly Market Outlook - Neutral With Downside Risk

    The bulls and bears ended up in a stalemate last week. Both sides of the table looked as if they were going to take control at different points, but when all was said and done, neither side had the conviction need to rock the market out of its rut. The S&P 500's (SPX) (SPY) close of 2052.32 was only 0.27% better than the week-earlier close, and still right in the middle of some major support and resistance. The BigTrends TrendScore (for stocks) is a slightly anemic 56.6 out of a possible[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Trade Ideas | May 22, 2016, 6:00 AM

    Weekend Review - VIX Options and Futures - 5/16 - 5/20

    Weekend Review - VIX Options and Futures - 5/16 - 5/20

    The combination of VIX moving lower and June becoming the front month put some pressure on the June futures last week. I think maybe the lack of news flow expected over the next couple of weeks has something to do with that as well. Note the bifurcated futures performance from last week with many longer dated futures rising, which maybe could be the risk of higher rates or an ‘interesting’ presidential election hovering over the markets. Finally, I always like to periodically point out[...]