VIX Archives - CBOE Blogs

  • 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[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Apr 9, 2016, 8:30 AM

    Weekend Review - Russell 2000 Options and Volatility - 4/4 - 4/8

    Weekend Review - Russell 2000 Options and Volatility - 4/4 - 4/8

    I started last week at the FTSE Russell offices participating in a panel discussion that focused on small cap stocks. It was hard to come up with much on the positive side as the Russell 2000 has struggled over the past few months. Every once in a while it appears RUT is about to gain upside traction, but those glimmers of hope seem to be short lived. Last week RUT was down 1.8% while the large cap focused Russell 1000 (RUI) was down about 1.2%. RUI finished the week at up 0.02% for 2016 while RUT[...]

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Apr 3, 2016, 11:11 AM

    Weekend Review - VIX Options and Futures - 3/28 - 4/1

    Weekend Review - VIX Options and Futures - 3/28 - 4/1

    VIX closed on the 2016 lows last week and flirted with a 12 handle. I was asked at a seminar in Scottsdale, AZ on Thursday night how long it will take for VIX to touch 12. I responded that I had a hard time seeing a 12 handle this year. It won’t take much for me to be proven wrong. Something that keeps me in the higher volatility regime camp is the relative level of VIX futures to spot VIX. Note below that the April futures are at a hefty premium to spot VIX despite getting the monthly employment[...]

  • Weekend Review - Russell 2000 Index and Volatility - 3/28 - 4/1

    Weekend Review - Russell 2000 Index and Volatility - 3/28 - 4/1

    The Russell 2000 (RUT) had a great week rising 3.5% while the large cap focused Russell 1000 (RUI) also did pretty well gaining about 1.9%. For the year RUI went from down to up and is now in the green by 1.23% while the Russell 2000 is still in the red by 1.60%. A repeat of last week and RUT will join RUI in positive territory for 2016. I put lots of charts together every weekend and there’s always one or two that catch my eye. This week’s is below as despite the outperformance[...]

  • Market News | VIX | Apr 1, 2016, 1:04 PM

    The Weekly Options News Roundup – 4/1/2016

    The Weekly Options News Roundup – 4/1/2016

    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. Volatility Suite – Expanded CBOE listed options on the FTSE 100 and FTSE China 50 Index this week, offering investors exposure to U.K. and Chinese markets. These are two of many new products CBOE expects to offer on FTSE Russell indexes, giving investors access to diverse hedging tools. “CBOE targets product[...]

  • Technical Analysis & Charts | VIX | Education | Futures | Mar 28, 2016, 2:48 PM

    Weekly Market Outlook - At A Crucial Juncture

    Weekly Market Outlook - At A Crucial Juncture

    After five straight weeks of gains, the market finally buckled. It wasn't a big pullback last week - only 0.6% - but all big trends start out with that first small step. We at least have to acknowledge the possibility that last week's weakness may be the beginning of something bigger. And that possibility isn't just the result of one losing week. The S&P 500 (SPX) (SPY) bumped into a major resistance line, and if the bears were/are going to make a stand anywhere, it's where the index peaked last[...]

  • Market News | VIX | Trader Talk | Futures | Mar 27, 2016, 10:43 AM

    Weekend Review - Russell 2000 Options and Volatility - 3/21 - 3/24

    Weekend Review - Russell 2000 Options and Volatility - 3/21 - 3/24

    The Russell 2000 (RUT) gave up 2% last week after making a little run at closing the 2016 gap with the Russell 1000 (RUI).  RUT is now down just about 5% for 2016.  There was a glimmer of hope for large caps this time last week, but RUI gave up 0.70% last week and is now 0.65% lower for 2016. The concern for small cap stocks continues to rise relative to large cap stocks in the form of the ratio of the CBOE Russell 2000 Volatility Index (RVX) relative to VIX.  The gap between the[...]

  • Market News | VIX | Trader Talk | Futures | Mar 26, 2016, 9:35 AM

    Weekend Review - VIX Options and Futures - 3/21-3/24

    Weekend Review - VIX Options and Futures - 3/21-3/24

    Despite facing a three day weekend, VIX rebounded with the weakness in the stock market last week.  Of note on the chart below is the price action for the April future.  That contract was at a pretty steep premium to spot VIX and the result was a slight drop in the April contract despite the rise in VIX.  May is at a very large premium as well and this may have been a motivating factor behind the two trades discussed below. Since it is a long weekend let’s take a look at two[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Mar 25, 2016, 9:19 AM

    Weekend Review - Volatility Indexes and ETPs - 3/21 - 3/24

    Weekend Review - Volatility Indexes and ETPs - 3/21 - 3/24

    The S&P 500 was slightly lower last week, ruining a five week winning streak.  This gave three of the four volatility indexes on the chart below a chance to rebound from 2016 lows.  The exception is VXST, but we give this one a break since three day weekends are always tough on VXST. The choppiness in the volatility space last week, along with the front month future actually losing a little value did no favors for the VIX related ETPs.  UVXY was up almost 9% for the week early[...]

  • Market News | Technical Analysis & Charts | VIX | Mar 21, 2016, 10:23 AM

    BigTrends.com Weekly Market Outlook - Up 12% From Lows, Where To Now?

    BigTrends.com Weekly Market Outlook - Up 12% From Lows, Where To Now?

    We just completed the fifth straight bullish week for the market.  The S&P 500 (SPX) (SPY) advanced 1.35% last week, clearing a couple of key resistance lines in the process. Yet, other resistance lines have yet to be hurdled, and could end up being problems that work against stocks now that the S&P 500 is up 12% from the February 11th low...  enough to give all those would-be profit-takers something to think about. We'll weigh the good and bad below, right after[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Mar 19, 2016, 4:29 PM

    Weekend Review - Volatility Indexes and ETPs - 3/14 - 3/18

    Weekend Review - Volatility Indexes and ETPs - 3/14 - 3/18

    I’m honestly surprised and admitting that I have been very wrong in trying to guess at the VIX action lately.  I never would have expected a 13 handle for VIX, but low and behold that’s what we got on Friday.  When I return to work on Monday I will spend a little time on the wall of shame. Even the longer dated volatility indexes have given up the fight with VXV and VXMT closing near the respective 2015 averages after remaining at elevated levels for most of 2016. VXX[...]

  • Market News | VIX | Blogging Options | Trader Talk | Futures | Trade Ideas | Mar 19, 2016, 2:38 PM

    Weekend Review - Russell 2000 Options and Volatility - 3/14 - 3/18

    Weekend Review - Russell 2000 Options and Volatility - 3/14 - 3/18

    I guess I have to try to work some sort of St. Patrick’s Day theme in here since the Russell 1000 (RUI) went from red to green on the year last week, but I’m too worn out to come up with anything clever.  Also, it is difficult to get too excited over an index that is up 0.05% for the year.  Since I’m trying to be funny, here’s a lame attempt, the Russell 2000 (RUT) remains in a rut for 2016, even after gaining 1.3% last week the small cap benchmark is still 3% lower[...]

  • Market News | VIX | Futures | Mar 18, 2016, 3:00 PM

    The Weekly Options News Roundup – 3/18/2016

    The Weekly Options News Roundup – 3/18/2016

    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. New Options Flexibility This Monday, CBOE will begin offering FLEX Index Options with Asian and Cliquet style settlement. These new exchange-traded exotic options are particularly appealing to the insurance industry, giving indexed annuity writers new options-based hedging alternatives.  For more information, see[...]

  • Technical Analysis & Charts | VIX | Futures | Strategy | Mar 18, 2016, 1:06 PM

    Weekly Stock Market Commentary 3/18/16

    Weekly Stock Market Commentary 3/18/16

    The completion of the powerful, bottoming "W" formation at the beginning of March was the launchpad for this leg of the rally. It has more room to run. Equity-only put-call ratios continue to remain on buy signals. The standard chart has seen a slight "wiggle" develop this week, but it does not dissuade the computer programs from continuing to say that these ratios are solidly on buy signals. Market breadth continues to be strong. Both oscillators are currently on buy signals,[...]

  • VIX | Education | Futures | Mar 18, 2016, 12:57 PM

    VIX Volatility Indicators Cool as FOMC Joins the Dovish Bandwagon

    VIX Volatility Indicators Cool as FOMC Joins the Dovish Bandwagon

    CBOE’s indicators of expected volatility for Treasuries, equities and foreign exchange rate -- TYVIX, VIX, EUVIX, JYVIX, BPVIX) -- turned cooler this week. All but BPVIX are below their historical median values since 2003. The driver of the move was the decidedly more dovish tone of the FOMC’s announcement on Thursday. The Fed policymakers also announced their decision not to change (raise) the fed fund target rate – but that decision had been fully anticipated. The FOMC’s[...]