VIX Archives - Cboe Blogs

  • Market News | Technical Analysis & Charts | VIX | Dec 23, 2015, 2:01 PM

    SPX & The Golden Cross

    SPX & The Golden Cross

    For those that watch the market with a “technician’s eye” something unusual happened yesterday. It marked the first time since January 31, 2012 when the 50 day moving average on the SPX Index crossed over its 200 day moving average. Technical types call this “The Golden Cross”, which is almost unequivocally considered a bullish formation (especially in concert with increasing volume). To be fair, in order to set up a Golden Cross, it must be preceded by a “Death[...]

  • Market News | VIX | Trader Talk | Education | Strategy | Trade Ideas | Dec 20, 2015, 3:30 PM

    Weekly Review - Russell 2000 Options and Volatility - 12/14 - 12/18

    Weekly Review - Russell 2000 Options and Volatility - 12/14 - 12/18

    Small cap stocks continue to languish relative to large cap stocks for 2015.  The Russell 2000 (RUT) was down 0.23% while the Russell 1000 (RUI) lost 0.35% last week.  RUT is down 6.95% for 2015 while the large cap oriented RUI is down only 2.94%.  It’s going to take a small miracle for RUT to close the gap over the next two holiday shortened weeks. The CBOE Russell 2000 Volatility Index (RVX) rebounded relative to VIX last week but finished very close to parity. [...]

  • Market News | VIX | Trader Talk | Education | Futures | Trade Ideas | Dec 20, 2015, 10:44 AM

    Weekly Review - VIX Futures and Options - 12/14 - 12/18

    Weekly Review - VIX Futures and Options - 12/14 - 12/18

    VIX gave up 15% last week, despite the S&P 500 losing a little and this index trading in a range of greater than 80 points for the second consecutive week.  Consensus thinking is that with the Fed finally hiking rates a little uncertainty came out of the markets.  Of course Janet Yellen’s press conference was still in full swing when market pundits started discussing when the next potential rate hike may occur. The curve depicting the short dated VIX futures contracts[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Dec 19, 2015, 9:46 AM

    Weekly Review - Volatility Indexes and ETPs - 12/14 - 12/18

    Weekly Review - Volatility Indexes and ETPs - 12/14 - 12/18

    Finally, the Fed raised rates.  I’m reading Ben Bernanke’s book and it is interesting that this was being debated when he was still the chairman.  The equity market loved it and then hated it with the result being a roller coaster of a week.  The VXST – VIX – VXV – VXMT curve was on heightened alert this time last week and returned to normal to end the week.  It is rare, but we seem to have experienced an earnings like volatility crush in SPX volatility[...]

  • Market News | Technical Analysis & Charts | VIX | Dec 15, 2015, 12:19 PM

    Looking at VIX With Respect to an Initial Rate Hike

    Looking at VIX With Respect to an Initial Rate Hike

    On June 30, 2004 the Federal Reserve Open Markets Committee raised the intended Fed Funds rate from 1.00% to 1.25%.  This was the last first time we had an initial hike in interest rates (yes you read that correctly).  A lot has happened since this last first hike.  I did the quick math and my intern was nine years old, so she’s learned to drive and reached a major milestone that goes along with being 21 years old.  When we last had a rise in rates ISIS was either a pharmaceutical[...]

  • Market News | VIX | Blogging Options | Dec 11, 2015, 2:00 PM

    The Weekly Options News Roundup – 12/11/2015

    The Weekly Options News Roundup – 12/11/2015

    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. A Hero’s Welcome On Wednesday, CBOE hosted recent Congressional Medal of Honor recipient U.S. Army Capt. Florent Groberg for an opening bell-ringing ceremony.  Exchange staff and traders gathered on the CBOE trading floor, cheering patriotically and giving Capt. Groberg a well-deserved hero’s welcome. The[...]

  • Market News | VIX | Blogging Options | Dec 4, 2015, 2:31 PM

    The Weekly Options News Roundup – 12/4/2015

    The Weekly Options News Roundup – 12/4/2015

    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. CBOE’s Continued Innovation Evolution Throughout the year, CBOE has demonstrated its commitment to product innovation by creating a diverse mix of products suitable for a broad range of customer needs.  The exchange continued down this path with its recent announcement that it will soon list options on the FTSE[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Dec 1, 2015, 12:00 AM

    Hedge Funds and Volatility-Based Strategies Discussion at RMC Asia

    Hedge Funds and Volatility-Based Strategies Discussion at RMC Asia

    The first post-lunch presentation in Hong Kong was actually a hybrid presentation / discussion panel.  Things started off with the Chairman of Eurekahedge, Satoshi Iwanaga from Eurekahedge which created and calculates four indexes to measure the performance of different volatility oriented strategies.  This segmentation is logical since strategies that focus on volatility can vary greatly in their process. The four CBOE Eurekahedge Volatility Indexes are: CBOE Eurekahedge Short Volatility[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Nov 30, 2015, 9:31 PM

    Volatility and the Allegory of the Prisoner's Dilemma

    Volatility and the Allegory of the Prisoner's Dilemma

    Chris Cole from Artemis Capital delivered a presentation with the title, Volatility and the Allegory of the Prisoner’s Dilemma.  In a nutshell the Prisoner’s Dilemma relates to game theory and explores why two rational individuals might not cooperate even if it appears that it is in their best interest to do so. There were three points that Cole wanted to get across during his presentation – Investors are trapped in a Prisoner’s Dilemma Volatility is the only real asset[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Nov 30, 2015, 8:03 PM

    Presentation Discussing the Current Volatility Environment at CBOE RMC Asia

    Presentation Discussing the Current Volatility Environment at CBOE RMC Asia

    Buzz Gregory, Equity Derivatives Strategist at Goldman Sachs, delivered a very informative session on VIX and SPX option trading today in Hong Kong.  His speech hit on a topic that was frequently mentioned at RMC Europe a couple of weeks ago, the current shift in volatility regimes. Highlights of Buzz’s presentation include – It was noted that both SPX and VIX option volumes continue to steadily grow with volume experiencing dramatic increases occurring around market events About[...]

  • Market News | VIX | Trader Talk | Education | Futures | Nov 30, 2015, 1:16 PM

    RMC Asia Day 1 Recap

    RMC Asia Day 1 Recap

    The first day of the inaugural CBOE Risk Management Conference in Asia was jam packed with information that has me with a new ‘to do’ list that’ll keep my spring intern hopping until May. The conference commenced with a primer on VIX delivered by me.  As I said in the original post, it’s a little strange blogging a recap of your own presentation.  I feel a bit like the Rickey Henderson of options if I speak about myself in the third person so I just can’t do[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 30, 2015, 2:28 AM

    Tim Edwards of SPDJI Covers Unique Performance of VIX-Based Benchmark Indices

    Tim Edwards of SPDJI Covers Unique Performance of VIX-Based Benchmark Indices

    At the First Annual CBOE Risk Management Conference (RMC) Asia in Hong Kong, Tim Edwards, Ph. D., Senior Director of Index Investment Strategy, S&P Dow Jones Indices, delivered a presentation on the design and performance of long, short and dynamic VIX-based benchmark indexes, and covered their utility for longer-term investors and shorter-term traders. While many investors are familiar with the price movements of the spot CBOE Volatility Index® (VIX®), we at CBOE receive many[...]

  • VIX | Trader Talk | Education | Futures | Nov 30, 2015, 12:18 AM

    Primer on Options and Volatility Trading at RMC Asia

    Primer on Options and Volatility Trading at RMC Asia

    The first presentation at the first ever CBOE Risk Management Conference to be held in Asia kicked off with a primer on options and volatility delivered by me.  I couldn’t figure out if I wanted to refer to myself in the third person or err on the side of possibly sounding presumptuous.  I decided to go with the latter. Over the course of 75 minutes I discussed several things that relate to the option market with a focus on volatility and VIX related derivatives.  My presentation[...]

  • Market News | VIX | Trader Talk | Nov 29, 2015, 4:29 PM

    Keeping My End of the Put Selling Deal

    Keeping My End of the Put Selling Deal

    Let's follow up on a strategy started on August 25th, which is a day that can be labeled by any one of a number of epithets, as it was the day Mr. Market fell off his barstool.  Actually, August 24th was the day he clawed and struggled all the way down, and the 25th was the day he really went "thud" on the floor. In this linked post from early October, I detailed some sold puts that got assigned to me; soon after, I disposed of 100 of the 300 resulting shares and kept 200.  The[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 29, 2015, 12:00 PM

    Weekly Review - Russell 2000 Index and Volatility - 11/23 - 11/27

    Weekly Review - Russell 2000 Index and Volatility - 11/23 - 11/27

    Last week I noted that December has traditionally been a good month for stocks, especially small cap stocks.  That blog can be found at The Week in Russell 2000 Trading - 11/16 - 11/20.  RUT appeared to get a head start on things last week by rallying over 2% while the Russell 1000 (RUI) was up by only about 2 points.  RUT is now a rounding error from up on the year and still lags RUI by about 1.5%. With the relative rally in RUT the RVX / VIX premium dropped to levels[...]