VIX Archives - Cboe Blogs

  • Is VIX Approaching a Death Cross?

    Is VIX Approaching a Death Cross?

    I began my week updating charts and tables as I am heading to Tampa, FL to speak on options and then I’m off to Trader’s Expo in New York to deliver a couple of presentations.  The chart below, depicting the rolling 1 year and 5 year average closing prices for VIX is a favorite of mine.  I consider it a good depiction of the equity market shifting from a low to high volatility regime as the 1 year average approaches the 5 year average.  However, I noticed today that the[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 14, 2016, 1:07 PM

    Weekly Review - Volatility Indexes and ETPs - 2/8 - 2/12

    Weekly Review - Volatility Indexes and ETPs - 2/8 - 2/12

    Three out of the four S&P 500 volatility oriented indexes were higher last week.  The shortest dated one, VXST, dropped a little.  We attribute this to the three day weekend impact that puts pressure on VXST, but also usually results in VXST rising the day after a holiday weekend.  For example on Friday VXST dropped 17% while VIX was down 9.74%.  I guess what I’m getting at here is that we should focus on the longer dated volatility indexes on the chart below to get[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 14, 2016, 7:30 AM

    Weekly Review - VIX Options and Futures - 2/8 - 2/12

    Weekly Review - VIX Options and Futures - 2/8 - 2/12

    I had to double check the numbers when I looked at the closing curve this week as I had forgotten this was a holiday shortened week.  For those new to VIX, the calculation is based on calendar days and there is usually a small weekend impact which is exacerbated by three day weekends.  The futures anticipate this and don’t follow VIX to the downside.  In addition to the long weekend, there is a lack of big economic numbers or new scheduled for Tuesday which also may have had[...]

  • Market News | VIX | Trader Talk | Futures | Feb 12, 2016, 6:42 PM

    Weekly Review - Russell 2000 Options and Volatility

    Weekly Review - Russell 2000 Options and Volatility

    The pain continues for the Russell 2000 (RUT) in 2016 on both and absolute and relative basis.  For the year RUT is down over 14% while the large cap focused Russell 1000 (RUI) is only down about 9%.  The gap widened a bit this past week as RUI was down 1.00% and RUT lost 1.38%. Last year, when the market got into a real panic mode, VIX climbed to higher levels that the CBOE Russell 2000 Volatility Index (RVX).  Despite the weakness in stocks this year RVX has maintained[...]

  • VIX | Education | Futures | Feb 12, 2016, 1:53 PM

    February 12, 2016 Weekly Report on CBOE VIX Index Suite

    February 12, 2016 Weekly Report on CBOE VIX Index Suite

    Volatility Sizzles As Markets Waver Despite sparse developments in global fundamentals, and relatively good vibes from U.S. economic indicators, fear overtook financial markets this week and energized VIX indicators. The CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (ticker symbol: TYVIX), the gauge for interest rate volatility, reached a value of 8.53 near the open on Thursday and closed at 7.65 -- the TYVIX Index had not closed this high since January 2015. In addition, the intraday high[...]

  • Market News | VIX | Education | Futures | Feb 12, 2016, 12:30 PM

    The Weekly Options News Roundup – 2/12/2016

    The Weekly Options News Roundup – 2/12/2016

    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. Overnight VIX Values Coming in March Beginning next month, CBOE will begin disseminating values for the CBOE Volatility Index (VIX Index) during its overnight, extended trading hours session (2:00 to 8:15 am CT) for SPX and VIX options. Overnight dissemination of the VIX Index will enable market participants to view volatility[...]

  • Market News | VIX | Education | Trade Ideas | Feb 10, 2016, 1:00 PM

    Record Open Interest of 2,333 Contracts for Options on MSCI Emerging Markets Index (MXEF)

    Record Open Interest of 2,333 Contracts for Options on MSCI Emerging Markets Index (MXEF)

    The open interest for options on the MSCI Emerging Markets Index (MXEF) recently rose to a record 2,333 contacts. Several institutional investors have expressed interest in the potential for a liquid MXEF options contract, particularly because the MXEF options contract is cash-settled and has a notional size that is about 24 times larger than options on the EEM ETF. IMPORTANT MSCI GLOBAL INDEXES In mid-2015 the total market capitalizations were $13 trillion for MSCI EAFE (MXEA) and $4 trillion for[...]

  • Market News | Technical Analysis & Charts | VIX | Futures | Strategy | Feb 8, 2016, 10:15 AM

    BigTrends.com Weekly Market Outlook - Hanging By A Thread?

    BigTrends.com Weekly Market Outlook - Hanging By A Thread?

    Although stocks were never significantly into profitable territory at any point last week, at the very least on Thursday it looked like we might stabilize with just a very minor loss.  The bears had other plans on Friday, however, sending the market 1.85% lower that day to the lowest close in nearly two weeks. And yet, it's worth noting that neither the S&P 500 (SPX) (SPY) nor the NASDAQ Composite (COMP) broke under their most critical floors; we're still not past the point of no return[...]

  • Market News | VIX | Strategy | Feb 8, 2016, 9:21 AM

    Market in Distribution Continues

    Market in Distribution Continues

    We started a new month this past week, but it was like déjà vu all over again.  The Groundhog declared an early Spring on Tuesday, a change in weather.  But regarding markets, you could have fooled me.  It was the same action we have seen for weeks on end, and it doesn't seem to be letting up.  The vicious selling last week was magnified on Friday after a jobs report that seemed indicate the Fed may be trapped.  I'm not so sure about that, but the market speaks[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 7, 2016, 12:15 PM

    Weekend Review - VIX Options and Futures - 2/1 - 2/5

    Weekend Review - VIX Options and Futures - 2/1 - 2/5

    Friday provided our first glimpse into how the economy was faring in January and the stock market apparently didn’t like what it saw.  VIX finished the day up 7% which was just under half the over 15% rise we got last week.  The February future managed an 11% gain to finish higher than spot VIX.  However, backwardation is still in place with the February contract higher than the March contract.  More on this after the chart and table below. I’ve been obsessively[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Feb 6, 2016, 3:50 PM

    Weekly Review - Volatility Indexes and ETPs - 2/1 - 2/5

    Weekly Review - Volatility Indexes and ETPs - 2/1 - 2/5

    VIX rose last week as did the rest of the volatility indexes that based their levels on S&P 500 Index (SPX) option pricing.  Usually in times of panic VXST (9-day volatility) rises above VIX (30-day volatility), but that was not the case this past week.  You can read this two ways – traders think stocks will rebound or traders are mentally prepared for more downside in the market.  I’m leaning toward the latter. I decided to leave the year to date numbers[...]

  • Market News | VIX | Trader Talk | Strategy | Feb 6, 2016, 9:38 AM

    Weekly Review - Russell 2000 Index and Options - 2/1 - 2/5

    Weekly Review - Russell 2000 Index and Options - 2/1 - 2/5

    Small cap stocks continue to take it on the chin as the Russell 2000 (RUT) dropped almost 5% (4.81% for the quants) last week while the Russell 1000 (RUI) was down 3.16%.  I love how I am conditioned to a 3% drop in a broad based index feeling kind of normal.  My how times have changed. In times of panic the implied volatility of S&P 500 (SPX) options often elevates compared to the implied volatility of RUT index options.  That has not been the case in 2016 and in fact VIX closed[...]

  • Market News | VIX | Education | Feb 5, 2016, 5:00 PM

    The Weekly Options News Roundup – 2/5/2016

    The Weekly Options News Roundup – 2/5/2016

    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: Overnight Access Granted CBOE announced this week that it will begin overnight dissemination of the CBOE Volatility Index next month, enabling market participants to “view volatility during that period through the same lens used in regular U.S. trading hours.” “CBOE Extends VIX Index Overnight for[...]

  • Market News | VIX | Futures | Feb 5, 2016, 1:52 PM

    VIX Measures of Volatility Boosted by Muddled Economic Outlook

    VIX Measures of Volatility Boosted by Muddled Economic Outlook

    Figure 1. TYVIX, VIX and Foreign Exchange Volatility Indicators VIX volatility indicators for Treasury, equity and foreign exchange markets edged up this week as central bankers and investors appeared equally bemused by the crosscurrents in global economic news. Adding to ongoing concerns about China, low commodity prices, lack of inflation and lackluster growth, yields on sovereign bonds in Europe and Japan turned negative. Negative yields are sometimes viewed as a possible precursor to recession.[...]

  • VIX | Trader Talk | Futures | Trade Ideas | Jan 31, 2016, 4:48 AM

    Weekly Review - VIX Futures and Options - 1/25 - 1/29

    Weekly Review - VIX Futures and Options - 1/25 - 1/29

    The VIX term structure is approaching contango which many VIX watchers will consider a green light for the equity markets, but the February contract stubbornly remains elevated relative to the March contract.  Although on Friday this premium was down to 0.30.  My feeling is February may stay up a bit until we get the employment number behind us this coming Friday.  At that point I guess VIX will be just like the Fed (data dependent). The shorter term curve flattened out[...]