VIX Archives - Cboe Blogs

  • VIX | Futures | Jun 24, 2016, 11:57 AM

    Skew Charts Show Higher Implied Volatility for O-T-M Puts on SPX, RUT, EFA and FXB

    Skew Charts Show Higher Implied Volatility for O-T-M Puts on SPX, RUT, EFA and FXB

    After the results of the Brexit referendum were announced , the values of several volatility indexes at CBOE shot up, indicating that overall implied volatility had increased for many securities worldwide. A key issue for some cautious investors who want to hedge is – what are the implied volatilities for various out-of-the-money (O-T-M) put options that can be used to hedge my portfolio?   Below are Livevol skew charts for four key securities – SPX, RUT, EFA, and FXB –[...]

  • VIX | Futures | Jun 24, 2016, 11:48 AM

    VIX Futures Set Overnight Volume Record

    VIX Futures Set Overnight Volume Record

    The CBOE Futures Exchange, LLC (CFE®) today announced record volume was set in VIX Futures traded in non-U.S. trading hours with an estimated 235,000 contracts changing hands. Today’s record surpasses the previous single-day record of 140,811 contracts set during the overnight session on August 24, 2015. With the addition of today’s trading data, monthly volume in VIX Futures in non-U.S. trading hours also set a record, with June volume traded in the overnight session totaling an[...]

  • VIX | Futures | Jun 24, 2016, 10:46 AM

    14 Volatility Indexes (including VXEFA, JYVIX & VIX®) Rise by More Than 10% Friday Morning

    14 Volatility Indexes (including VXEFA, JYVIX & VIX®) Rise by More Than 10% Friday Morning

    After the news of the results on the Brexit referendum were disclosed, implied volatility for many key securities worldwide rose, and the values of 14 volatility indexes at CBOE – (tickers: VXEFA, JYVIX, EVZ, VXO, VIX®, VXN, VXGS, VXXLE, VXD, EUVIX, VXIBM, VXST, VXGOG, and RVX) – rose by more than 10% by 9 am CT on Friday, June 23. To see updates on price movements for 29 volatility indexes, visit www.cboe.com/volatility. FUTURES ON VIX® INDEX Reported trading volume in VIX[...]

  • Market News | VIX | Futures | Jun 24, 2016, 7:00 AM

    Checking in on the VIX Overnight Action

    Checking in on the VIX Overnight Action

    Things are moving faster than I can type this morning, but here’s a quick update and some perspective on the overnight VIX action in response to Britain voting to exit the EU. Global stock futures are lower and we all know that results in higher volatility. The curve made a pretty dramatic shift with VIX rising over 40%. The table above only shows the monthly contracts, but it is worth noting that the VIX Weekly Futures contract expiring next Wednesday was up about 40% to 22.50 when I last[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Jun 22, 2016, 1:53 PM

    Taking Apples from Somewhere Near the Top of the Tree

    Taking Apples from Somewhere Near the Top of the Tree

    The best way to tell a story (well, maybe not always) is to tell it in the order in which it happened. In this case, I'll start where I left off, and that means to describe the mystery position I took at the end of the last post. I made mention of it, but did not divulge it. It turns out I opened and closed that position all on the same day, so that by the time my last article went to press, it was already in the can. Here's the rundown for my June 3rd open/shut: Pictorial illustration of the entry[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Jun 20, 2016, 1:24 PM

    Weekly Market Outlook - Will Support Hold?

    Weekly Market Outlook - Will Support Hold?

    The bulls did everything they could to get the rally back on track last week after the early breakdown. But, it just wasn't meant to be. Once the S&P 500 (SPX) (SPY) fell under the 50-day moving average line on Wednesday, the index -- despite trying -- just couldn't climb back above it. When all was said and done, the market lost 1.18% of its value last week. Still, stocks have a few rabbits they could pull out of a hat and move higher rather than losing any more ground. And, even if they[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 19, 2016, 10:48 AM

    Weekend Review - Russell 2000 Options and Volatility - 6/13 - 6/17

    Weekend Review - Russell 2000 Options and Volatility - 6/13 - 6/17

    Despite global concerns dominating the market chatter last week, large cap stocks outperformed small cap stocks. Both were lower as the Russell 1000 (RUI) lost 1.16% while the Russell 2000 (RUT) gave up 1.65%. RUI widened the lead on RUT and is now up 1.33% for 2016 while RUT is still higher, but by only 0.78%. The CBOE Russell 2000 Volatility Index (RVX) rose last week, but not nearly as much as the gains we saw from VIX. As global concerns entered the marketplace, the RVX[...]

  • Weekend Review - Volatility Indexes and ETPs - 6/13 - 6/17

    Weekend Review - Volatility Indexes and ETPs - 6/13 - 6/17

    The VXST – VIX – VXV – VXMT curve moved from contango to an unusual shape this past week. Lots of things point to the markets being concerned about next week’s ‘should I stay or should I go’ vote in Britain. VXST represents short term SPX option volatility and the options that expire just after the vote are feeding that calculation.  I’m going to say results in VXST finishing the week at such an elevated level last week have a little to do with Brexit. With[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Trade Ideas | Jun 17, 2016, 11:00 PM

    Weekend Review - VIX Futures and Options - 6/13 - 6/17

    Weekend Review - VIX Futures and Options - 6/13 - 6/17

    I’ve been around long enough to remember when the time in the markets between Memorial Day and Labor Day were quiet enough for traders to spend several afternoons at Wrigley field without feeling they were missing anything. This past week no one could have gotten away with playing hooky. As the stock market came under pressure, VIX climbed to the highest levels we have seen since February. Everyone is focused on Brexit as the ‘reason’ for the markets to be doing what they are doing.[...]

  • Market News | VIX | Jun 17, 2016, 2:01 PM

    The Weekly Options News Roundup – 6/17/2016

    The Weekly Options News Roundup – 6/17/2016

    Social Powers That Be On Tuesday, CBOE announced it plans to develop a series of social media-based strategy benchmark indexes using Social Market Analytics’ (SMA) state-of-the-art analytics. SMA chief executive officer Joseph A Gits IV, commented:  “CBOE is an unrivaled product innovator and a leader in the index space and SMA is a leader in providing actionable social media metrics.  We look forward to working with CBOE to create these first-of-their-kind indexes.”  For[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Jun 13, 2016, 11:08 AM

    Market Outlook - Market Looks Vulnerable Here

    Market Outlook - Market Looks Vulnerable Here

    The market was on pace to a decent gain last week.... until Friday. With that day's stumble, an intraweek gain of 1.0% turned into a 0.14% loss for the five-day span. Worse, the shape and location of last week's intraweek reversal hints that the tide may have finally turned bearish. Of course, in this market, such hints don't necessarily mean a lot. We'll dissect it all below as usual, after painting with some broad brush strokes of economic data. Economic Data As was noted a week ago, there[...]

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

    Weekend Review - Russell 2000 Options and Volatility - 6/6 - 6/10

    Weekend Review - Russell 2000 Options and Volatility - 6/6 - 6/10

    Only 5 basis points separate the 2016 performance for the Russell 2000 (RUT) and Russell 1000 (RUI). As of Friday RUI was in the lead, but do note early last week RUT finally surpassed RUI performance for 2016. The CBOE Russell 2000 Volatility Index (RVX) rose last week, as did just about every volatility index CBOE calculates. However, the rise in RVX lagged the rise in VIX on a percentage basis which resulted in a drop in the RVX / VIX premium to the lowest levels since March of this[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jun 12, 2016, 10:29 AM

    Weekend Review - VIX Futures and Options - 6/6 - 6/10

    Weekend Review - VIX Futures and Options - 6/6 - 6/10

    June VIX settlement is on the horizon, just two trading days and an overnight to Wednesday’s AM settlement. I mention that as a lead off in this space as I find the June futures at a premium to spot VIX kind of interesting considering VIX rose 26% last week. Admittedly, a 0.50 premium isn’t all that much, but any premium at all makes me think traders are still on edge after the S&P 500 price action last week and now going into two weeks with big known unknowns (FOMC this week[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 11, 2016, 12:23 PM

    Weekend Review - Volatility Indexes and ETPs - 6/6 - 6/10

    Weekend Review - Volatility Indexes and ETPs - 6/6 - 6/10

    Last week VIX rose every day which isn’t all that unusual.   What was ground breaking was that VIX rose each of the first three days last week despite the S&P 500 moving up as well. I decided to take a look at what has happened in the past when both the S&P 500 and VIX rise together for three consecutive days. The result, it's not as uncommon as I thought, we've had 17 occurrences of three up together.  However, the last time was in January 2013. VVIX[...]

  • VIX | Education | Futures | Jun 10, 2016, 4:43 PM

    Russell 2000 Index: Re-Pricing Risk

    Russell 2000 Index: Re-Pricing Risk

    Russell 2000 Index (RUT) Hits a 2016 High The bellwether benchmark for U.S. small-caps, the Russell 2000 Index tracks the performance of U.S. companies that derive most of their revenues domestically. Since the middle of May, as the Russell 2000 Index moved to its year’s high (1190.17) on June 8th.  In comparison to the S&P 500 the Russell 2000 slightly outperformed on a year-to-date basis (+2.33% vs. 2.27%) as of today. Please note the Russell 2000 Index ticker is (RTY) in the Bloomberg[...]