VIX Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Futures | Jan 17, 2016, 1:07 PM

    Weekly Review - VIX Futures and Options - 1/11 - 1/15

    Weekly Review - VIX Futures and Options - 1/11 - 1/15

    Two tomatoes are walking down the street, momma tomato and baby tomato.  Baby tomato can’t keep and momma tomato keeps getting angrier and angrier.  Finally she stops, turns around and stomps on baby tomato.  She then states, “Catch up”. That’s what the VIX futures did this past week, with the stock market playing the role of baby tomato and getting stomped on.  When the dust settled this week VIX was actually up by 0.01 with VIX futures narrowing the gap. [...]

  • A Quick Look at VIX Backwardation Streaks

    A Quick Look at VIX Backwardation Streaks

    When VIX is relatively high the VIX term structure moves into what we commonly refer to as backwardation.  The way this may be defined varies among market participants, but most focus on the shorter end of the VIX curve.  That is what I’ve been doing lately as well.  It turns out, regardless of how you define VIX backwardation 2016 has experienced more instances of it than not for the first ten days of 2016.  The tables below rank the consecutive day streaks for VIX backwardation[...]

  • Market News | VIX | Futures | Jan 15, 2016, 1:34 PM

    Twists and Turns In VIX and TYVIX Indexes

    Twists and Turns In VIX and TYVIX Indexes

    The CBOE Volatility Index (VIX) and the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX), benchmarks of volatility for the U.S. equity and Treasury markets, have had some interesting twists and turns this week after another decline in the Shanghai stock market pushed global equities lower and the price of crude oil dipped below $30 a barrel. The TYVIX Index has been heading up since December 24, 2015, but still shows no clear trend from a longer-run perspective. The VIX Index, on the[...]

  • VIX | Trader Talk | Education | Jan 12, 2016, 3:40 PM

    The Blame Game

    The Blame Game

    Plenty of ink has been spilled about the selloff in global equity markets including SPX and RUT. We have been witness to an escalating VIX and RVX, albeit with significantly lower highs (to this point) when compared to the late August selloff. Psychologically, we like to be able to attribute market pullbacks to something specific. People want a narrative. They prefer to have something to point to and affix blame. Jesse Livermore famously spouted, “There is only one side of the market and it[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jan 11, 2016, 6:19 PM

    Block Trade Analysis - Huge 1 x 2 Jan VIX Call Spread from Monday

    Block Trade Analysis - Huge 1 x 2 Jan VIX Call Spread from Monday

    Today, while I was teaching at the Options Institute, a roar came up from the VIX pit about an hour into the trading day.  Despite the tumultuous market activity that we have experienced to begin the year, the audible volume from the open outcry pits has been fairly tame.  What got the guys going today was a very large ratio spread using January VIX Calls that expire on the open next Wednesday. The specific trade sold well over 100,000 of the 22 Calls and purchased twice as many of the[...]

  • Market News | Technical Analysis & Charts | VIX | Futures | Jan 11, 2016, 9:30 AM

    BigTrends.com Weekly Market Outlook - Is The Pullback Over?

    BigTrends.com Weekly Market Outlook - Is The Pullback Over?

    From a momentum perspective, the bears were clearly in charge as of the end of last week. On the other hand, the sheer size and scope of the setback opens the door to a possible bounce...  a volatile mode the market has been in for over a year. Only time will really tell if this oddly bearish start to the new trading year was a fluke or the shape of things to come. It's best to prepare for both possibilities. We'll look at the charts and weigh the odds below.  But first, was quickly review[...]

  • Market News | VIX | Trader Talk | Futures | Jan 9, 2016, 9:00 AM

    Weekly Review - VIX Futures and Options 1/4 -1/8

    Weekly Review - VIX Futures and Options 1/4 -1/8

    The VIX curve moved from flat to backwardation as the S&P 500 dropped almost 5% to begin the year.  We finished the previous week with the curve pretty flat which is often considered an indication of uncertainty among volatility traders.  As a stretch of a visual I think about a flat volatility curve replicating a ‘fair coin’ which is the proper academic way to introduce a true 50 / 50 prospect.  That coin toss turned out to be extremely bearish for the equity markets[...]

  • Market News | VIX | Trader Talk | Futures | Jan 8, 2016, 7:30 PM

    Weekly Review - Volatility Indexes and ETPs - 1/4 - 1/8

    Weekly Review - Volatility Indexes and ETPs - 1/4 - 1/8

    The S&P 500 experienced the second worst week in performance since 2011.  For those with short memories, the worst week came about four months ago in late August.   What both these weeks have in common is China which continues to experience financial market woes and, despite their leader’s best efforts, there seems to be no end to the volatility coming out of that part of the world for the foreseeable future. The market action pushed all four S&P 500 related volatility[...]

  • Market News | VIX | Education | Jan 8, 2016, 4:45 PM

    2016 Stock Market Forecast & 2015 Market Review

    2016 Stock Market Forecast & 2015 Market Review

    Usually we make this the topic of a longer article at year-end, but frankly we are not holding positions for anywhere near a year, so this is just a mental exercise – not having a lot to do with our style of trading. Besides, last year the big thing was that years ending in “5" are extremely bullish.  Well, this one wasn’t, which just shows that seasonals don’t always work.  Of course, with this one you have to wait another ten years to see how the next signal[...]

  • Market News | VIX | Education | Futures | Jan 8, 2016, 2:40 PM

    It’s Déjà VIX All Over Again

    It’s Déjà VIX All Over Again

    The same up-and-down vibes that marked the end of 2015 lifted volatility in the first week of 2016. The Shanghai stock market plunged on Monday. Oil prices were on a downward trend all through the week, and on Friday the U.S. Labor Department reported an additional 292,000 nonfarm payroll jobs were added in December. On Thursday, the economic malaise in China pushed the CBOE Volatility Index (VIX) to a weekly high of 25.86, 42 percent higher than at the close of 2015. The upbeat job report on Friday[...]

  • Market News | VIX | Trader Talk | Strategy | Jan 6, 2016, 1:22 PM

    Small Caps in Turmoil, Albeit with Lower Anticipated Volatility

    Small Caps in Turmoil, Albeit with Lower Anticipated Volatility

    The Russell 2000 (RUT) is trading at 1094, 15% off all-time highs, and has only closed lower than this level on one occasion (9/29/15) in the past 14+ months. In October of 2014, amidst the worldwide Ebola scare, RUT closed at 1068 and traded as low as 1018. Implied volatility of RUT options however, is rather sanguine despite the selloff in the benchmark Small Cap index. The CBOE Russell 2000 Volatility Index (RVX) “measures the market’s expectation of 30-day volatility implicit in the[...]

  • Market News | VIX | Education | Jan 6, 2016, 10:29 AM

    CBOE RMC Early Bird Pricing Ends Friday

    CBOE RMC Early Bird Pricing Ends Friday

    On what is supposed to be the coldest day of this winter in Chicago I’m booking a flight to South Florida for late next month.  Bonita Springs is the home for the 2016 CBOE Risk Management Conference where I know the weather will be more agreeable than what I experienced on my walk from the train this morning in Chicago. CBOE now hosts three versions of the Risk Management Conference annually, each with a geographic focus (US, Europe and Asia).   The one in the United States[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jan 5, 2016, 8:22 AM

    Block Trade Analysis - VXX Bearish and Bullish Trades from Monday

    Block Trade Analysis - VXX Bearish and Bullish Trades from Monday

    Days like yesterday get me searching for volatility oriented option trades.  I found two that caught my eye in the VXX option market and debated which one to discuss in this space.  After about three seconds of internal debate I decided to just talk about both. Both trades occurred in the middle of the day yesterday, one is bearish on VXX while the other benenfits if VXX spikes to the upper 20’s.  First the bearish trade. When VXX was at 21.90 there was a seller of the VXX Jan[...]

  • Market News | Technical Analysis & Charts | VIX | Education | Jan 4, 2016, 2:11 PM

    Eight Charts to Recap 2015 – CNDR Index Rose 10.4%

    Eight Charts to Recap 2015 – CNDR Index Rose 10.4%

    End-of-the-year headlines noted “A Roller Coaster Year Ends with U.S. Markets Mostly Down” (New York Times) and “U.S. Stocks Post Worst Annual Losses Since 2008” (The Wall Street Journal). In this new year on Jan. 4, wsj.com noted “Weaker-than-expected manufacturing data and a falling currency triggered a 7% fall in mainland Chinese stocks that led authorities to halt trading there before the end of the session.” After reading these types of news stories, an inquisitive[...]

  • Market News | VIX | Trader Talk | Education | Futures | Jan 3, 2016, 9:24 AM

    Five Volatility Market Takeaways from 2015

    Five Volatility Market Takeaways from 2015

    2015 is behind us and the S&P 500 dropped (more than a rounding error) for the first time since 2008.  If you want to put a positive spin on the year you can say with dividends the S&P 500 was higher.  It was a fun year to be a market participant as we experienced some things that could be considered new or at least different relative to recent market history.  Since everyone loves lists, or gets easily sucked into them, here are five takeaways from the volatility markets in[...]