VIX Archives - CBOE Blogs

  • Market News | Technical Analysis & Charts | VIX | Futures | May 2, 2016, 10:21 AM

    Weekly Market Outlook - Is The Market Rolling Over?

    Weekly Market Outlook - Is The Market Rolling Over?

    Following through on the budding bearish effort from two weeks ago, the bears fended off a bullish bounce-back effort over the course of the first half of last week. It wasn't meant to be, however. Between Thursday's and Friday's high-volume selling, the S&P 500 (SPX) (SPY) booked a 1.2% loss last week, and broke below some key support levels in the process. If history is any indication, this stumble may well be the beginning of a more serious pullback. We'll dissect the rollover effort[...]

  • Market News | VIX | Trader Talk | Trade Ideas | May 1, 2016, 9:24 AM

    Weekend Review - Russell 2000 Index and Volatility - 4/25 - 4/29

    Weekend Review - Russell 2000 Index and Volatility - 4/25 - 4/29

    Stocks had a tough week and the Russell 2000 (RUT) was down 1.4% on the week and took the small cap benchmark from positive to negative territory for 2016. Large cap stocks held up a bit better with the Russell 1000 (RUI) losing 1.26% and the large cap benchmark remains positive on the year by just over 1%. Even though RUT underperformed a bit, the CBOE Russell 2000 Volatility Index (RVX) premium to VIX dropped a bit and both volatility indexes climbed last week.  The RVX / VIX[...]

  • VIX | Education | Apr 27, 2016, 1:00 PM

    CBOE Hosting New Conference on Derivatives and Volatility

    CBOE Hosting New Conference on Derivatives and Volatility

    Over the past ten years or so VIX futures and options have been two of the fastest growing listed derivative markets in the world.  This has resulted in traders and investors paying more attention to market volatility than ever before.  It has also resulted in the dramatic expansion of academic research focused on volatility.  The combination of these two factors has led to a collaboration between the Financial Management Association and CBOE in the form of a new conference. [...]

  • VIX | Apr 25, 2016, 2:32 PM

    Open Interest for VIX Call Options Recently Topped 7.5 Million Contracts

    Open Interest for VIX Call Options Recently Topped 7.5 Million Contracts

    Last week the open interest for call options on the CBOE Volatility Index® (VIX®) surged to more than 7.5 million contacts (see chart below). In a recent article at Bloomberg.com, reporters Joseph Ciolli and Inyoung Hwang wrote – “Going long market turbulence has surged in popularity in the last nine weeks, with investors sending an unprecedented $3.2 billion into securities that reap gains from wider price swings. That pushed shares outstanding on exchange-traded notes[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 24, 2016, 7:05 PM

    Weekend Review - VIX Options and Futures - 4/18 - 4/22

    Weekend Review - VIX Options and Futures - 4/18 - 4/22

    VIX moved down and the curve shifted lower as well. This sort of comment had been leading off this blog more often than not for years. I’m just surprised I’m saying it during what was expected to be a transitional year from a low to high volatility regime. The only bearish feature below is how steep the curve is. A few more weeks in the 13’s and we’ll probably see a flattening of the curve. Late last week it was pointed out to me that the VIX had closed under[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 24, 2016, 3:44 PM

    Weekend Review - Volatility Indexes and ETPs - 4/18 - 4/22

    Weekend Review - Volatility Indexes and ETPs - 4/18 - 4/22

    Very quiet weeks, like last week, usually result in a slight shift lower in the VXST – VIX – VXV – VXMT curve. Contango persists and it worked its magic on SVXY, VXX, and UVXY last week. SVXY had a good week rising over 5% while VXX gave up just about the same amount and UVXY lost over 11%. Note VVIX is remaining at relatively high levels as is SKEW.   For the year SVXY is up about 7%, VXX has lost 21% and UVXY is down 45% (after being up over 100% back in February). SVXY[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 24, 2016, 2:26 PM

    Weekend Review - Russell 2000 Index and Volatility - 4/18 - 4/22

    Weekend Review - Russell 2000 Index and Volatility - 4/18 - 4/22

    For the first time in 2016 the Russell 2000 (RUT) moved into positive territory last week. A gain of 1.4% places RUT just under 1% in the green for the year. Small caps also closed the gap with large cap stocks as the Russell 1000 (RUI) was up by 0.60% and is less than 1.5% higher than RUT for the year. Despite the run in small caps, the CBOE Russell 2000 Volatility Index remained relatively high compared to VIX last week. I take this as being an indication that there are not a[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Apr 19, 2016, 12:55 PM

    Huge 1 x 2 VIX Call Spread Rolled Today

    Huge 1 x 2 VIX Call Spread Rolled Today

    Things are relatively quiet today with the S&P 500 topping 2100 for the first time in months and then losing its grip on that round number. However, despite the relative quiet a big trade hit the VIX pit just before lunch time that has traders talking. There were four legs to the trade, which turned out to be a large volatility player rolling a position from May to July. I have no idea what they have against June. A May spread was exited – Sell 82,129 VIX May 23 Calls at 0.43 + Buy 164,242[...]

  • Market News | Technical Analysis & Charts | VIX | Trader Talk | Apr 18, 2016, 11:52 AM

    Checking in on Overnight VIX Action

    Checking in on Overnight VIX Action

    Last Friday CBOE began disseminating spot VIX quotes during what we lovingly call the Extended Hours Session (ETH). The first quote for VIX on April 15th occurred at 2:15 am Chicago time. I was elsewhere Friday but I did check the data periodically and everything seemed to be running smoothly. I’m back at work today so I decided to take a look at how VIX did relative to the S&P 500 futures market from 2:15 am to 8:15 am Chicago time, looking at the price every 5 minutes. At 8:15 am the[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Apr 18, 2016, 9:49 AM

    BigTrends.com Weekly Market Outlook - Valuation Concerns Creep In

    BigTrends.com Weekly Market Outlook - Valuation Concerns Creep In

    The market didn't end last week on a particularly bullish foot, but it doesn't matter  - it started the week on such a bullish foot the S&P 500 (SPX) (SPY) was still up 1.6% for the week, and still above a fairly important resistance line. The strength still doesn't outright guarantee stocks will keep moving higher. In fact, even if stocks were in a great technical position to keep edging higher, we're once again running into a valuation headwind. We'll dissect all of it below, right[...]

  • Weekend Review - Volatility Indexes and ETPs - 4/11 - 4/15

    Weekend Review - Volatility Indexes and ETPs - 4/11 - 4/15

    The S&P 500 was up by 1.62% last week and the VXST – VIX – VXV – VXMT curve reacted accordingly shifting lower in a fairly parallel fashion. The steepness has me concerned about the second half of this year, but for now things look just peachy. Note on the table below that despite (or maybe because of) the drop in VIX, VVIX rose a tad. It could be traders used to the weakness in VIX and related futures to get long volatility through VIX calls. It is a bit surprising[...]

  • Weekend Review - Russell 2000 Options and Volatility - 4/11 - 4/15

    Weekend Review - Russell 2000 Options and Volatility - 4/11 - 4/15

    One of my favorite books when I was a wee lad was “The Little Engine That Could”. When I see the Russell 2000 (RUT) coming very close to going from red to green on the year that story pops in my mind as I personify RUT saying, “I think I can” with the small cap benchmark approaching unchanged on the year. Last week RUT was up by 3% which places the index just 44 basis points in the red for 2016. Pretty impressive for an index that was down as much as 16% on the year.[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Apr 11, 2016, 9:45 AM

    BigTrends.com Weekly Market Outlook - Hawkish Fed?

    BigTrends.com Weekly Market Outlook - Hawkish Fed?

    It's too soon to assume the worst yet.  On the other hand, it's not too soon to prepare for the worst even as we hope for the best. Last week, stocks lost ground for the second time in three weeks.  More than that, the major indices are now putting a great deal of pressure on some critical support levels.  Worse still, we're seeing clear signs of waning bullish momentum.  That's not to say that bearish momentum has developed yet.  It is to say, however, this is how bearish[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Apr 10, 2016, 7:51 AM

    Weekend Review - VIX Futures and Options - 4/4 - 4/8

    Weekend Review - VIX Futures and Options - 4/4 - 4/8

    A week ago Thursday I was in Arizona speaking to an investment club and was asked if VIX would hit the 12’s anytime soon. I said I didn’t think so and the following day VIX came within a penny of a 12 handle. This week I was spared a trip to the wall of shame as VIX worked 17% higher to finish at 15.36. The futures were at a nice premium before this week so the front month April contract, which expires on the open April 20th, rose only 8% as the curve flattened slightly after spending[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Apr 9, 2016, 3:15 PM

    Weekend Review - Volatility Indexes and ETPs - 4/4 - 4/8

    Weekend Review - Volatility Indexes and ETPs - 4/4 - 4/8

    The S&P 500 lost a little over 1.2% last week, but the impact on volatility indexes was more than one would expect from loss like that for the S&P 500. Most significant to me was that both the 3-month (VXV) and 6-month (VXMT) S&P 500 oriented volatility indexes returned to average 2015 levels. This was something I was a bit obsessed with to begin 2016. The shorter end of the curve is still below last year’s average, but a few more weeks like last week and we will be right back to[...]