VIX Archives - Cboe Blogs

  • Put the Short Premium in the Bag

    Put the Short Premium in the Bag

    The tale of October happens to be the tale of my friend, "Mr. G," and what he did to turn $39,727.47 on September 30th into $56,239.25 on October 31st.  How's that for some trick-or-treat plunder? Here is the breakdown, separated by types of trades, of which there were only a few.  I'll number the types and show the dates and entry and exit points. 1. The greatest number of trades were made by selling short shares of TVIX on different dates between September 22nd and October 23rd,[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 1, 2015, 3:30 PM

    The Week in Russell 2000 Trading - 10/26 - 10/30

    The Week in Russell 2000 Trading - 10/26 - 10/30

    I’m still playing some catch up from school work and travel which caused me to take my eye off the ball with respect to the markets.  It happens and when it does I’m always surprised by something that occurred while my mind and body were elsewhere.   The big surprise for me this time around was the disconnection between small and large cap stocks that happened over the past couple of weeks. Over the last two weeks of October the Russell 2000 (RUT) was basically unchanged[...]

  • VIX | Trader Talk | Futures | Nov 1, 2015, 12:39 PM

    The Week in VIX - 10/26 - 10/30

    The Week in VIX - 10/26 - 10/30

    VIX, VIX futures and the S&P 500 all moved higher last week.  It happens, but with a couple of major economic events/numbers behind us (FOMC / 3Q GDP) and stocks moving up (although slightly) it was a bit surprising to see all that green when compiling data for this blog. The curve below is a comparison of generic VIX futures based on the number of days to expiration.  For example, Week 1 for the 10/23 curve was the October 28th contract while on the 10/30 curve it represents the November[...]

  • Market News | VIX | Trader Talk | Education | Oct 29, 2015, 10:52 AM

    2015 CBOE RMC Asia Schedule

    2015 CBOE RMC Asia Schedule

    Everyone at CBOE is looking forward to the first Asian version of the popular Risk Management Conference to be held November 30 to December 1 in Hong Kong.  Just today the preliminary schedule was just posted at www.cboermcasia.com which also works for registering to attend. Topics to be covered at the conference include volatility oriented trading strategies, option based portfolio management approaches, how to handle risk management in different volatility environments, and volatility oriented[...]

  • Market News | VIX | Blogging Options | Oct 23, 2015, 2:30 PM

    The Weekly Options News Roundup – 10/23/2015

    The Weekly Options News Roundup – 10/23/2015

    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. Making Waves Across the Pond Last week, CBOE announced it has taken a minority stake in CurveGlobal, a new interest rate trading venue, backed by the London Stock Exchange Group, CBOE and major dealer banks. CurveGlobal will aim to provide customers in that space with a compelling trading alternative that offers new and[...]

  • VIX | Trader Talk | Trade Ideas | Oct 19, 2015, 3:40 PM

    Closing a Volatility Short + Selling an Inverse Volatility Strangle

    Closing a Volatility Short + Selling an Inverse Volatility Strangle

    Let's check back on the progress of a trade last mentioned two posts ago.  This could be described as one of my favorite games ever, formally called "shorting the ultra-long volatility."  I've dabbled in both TVIX and UVXY recently, and the October 6th post illustrated some meat carved off the bone from the eleven-ish level on TVIX down to $9.48, when I just could not resist taking a bite.  To the tune of $651. Never one to be happy with a clean plate, I loaded the plate[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Oct 18, 2015, 12:36 PM

    The Week in Russell 2000 Trading - 10/12 - 10/16

    The Week in Russell 2000 Trading - 10/12 - 10/16

    Large cap stocks gained and small cap stocks were lower last week with the Russell 1000 (RUI) moving up by 0.77% while the Russell 2000 (RUT) dropped 0.26%.  For the year RUI is down 1.25% and RUT has given up 3.52%. The implied volatility differential finished the week with the CBOE Russell 2000 Volatility Index (RVX) at about a 20% premium to VIX which is pretty close to the average level for this year.  For the moment the risk perception for small cap stocks is at levels[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Oct 17, 2015, 12:05 PM

    The Week in VIX - 10/12 - 10/16

    The Week in VIX - 10/12 - 10/16

    It has been a while since I’ve started out saying we had a parallel shift in the VIX curve.  That’s what we got last week as the market calmed down a bit and the S&P 500 advanced.  The October contract settles on the open this coming Wednesday and went out at about a point premium to spot VIX which has been the norm over the past few years when VIX has been in the mid to low teens. The short dated curve shifted a little more into contango last week.  It[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Oct 17, 2015, 6:57 AM

    The Week in Volatility Indexes and ETPs - 10/12 - 10/16

    The Week in Volatility Indexes and ETPs - 10/12 - 10/16

    VIX closed under 16.00 for the first time since all the hubbub that occurred in late August as the S&P 500 continued to recover last week gaining 0.90%.  Among the four S&P 500 focused volatility Indexes VIX was the biggest loser shedding almost 12%.  I had been keeping a close eye on VXV as the 3 month time frame that VXV measures comes after the December FOMC announcement.  VXV fell a bit relative to VXMT (6 month volatility) which may be a FOMC indicator and may also be[...]

  • Market News | VIX | Blogging Options | Oct 16, 2015, 2:30 PM

    The Weekly Options News Roundup – 10/16/2015

    The Weekly Options News Roundup – 10/16/2015

    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. Interest Rate Futures thrown a Curve Ball with CurveGlobal CBOE announced today that it has taken a minority stake in CurveGlobal, a new interest rate trading venue.  CurveGlobal is a joint venture between the London Stock Exchange Group, CBOE and major dealer banks.  CurveGlobal will aim to provide customers[...]

  • Market News | VIX | Trader Talk | Futures | Oct 11, 2015, 8:30 AM

    The Week in Russell 2000 - 10/5 - 10/9

    The Week in Russell 2000 - 10/5 - 10/9

    The 4.6% gain for the Russell 2000 (RUT) was the biggest one week gain since late October 2014 when (I think) the market was rebounding from an ebola scare.  Large cap stocks participated in the rally with the Russell 1000 (RUI) rising 3.26%, but this lagged the rebound in small cap stocks.  Despite the ‘win’ for RUT, the Russell 2000 still lags the Russell 1000 by over 1% for 2015 (-3.27 vs. -2.00%). If this past week were homecoming at Volatility High School the[...]

  • Market News | VIX | Trader Talk | Education | Futures | Oct 10, 2015, 10:22 AM

    The Week in Volatility Indexes and ETPs - 10/5 - 10/9

    The Week in Volatility Indexes and ETPs - 10/5 - 10/9

    In Chicago we are already getting use to the Bears getting pummeled each week.  This past week bears everywhere took it on the chin as the S&P 500 put up the best weekly performance in 2015.  What I find interesting on the chart below relates to VIX, which was down 18.4% for the week, which is actually the fourth worst week for VIX this year, despite VIX beginning the week over 20.00. VXX dropped about 11% and SVXY was up closer to 12% last week.  However, the choppy[...]

  • Market News | VIX | Blogging Options | Oct 9, 2015, 3:00 PM

    The Weekly Options News Roundup – 10/9/2015

    The Weekly Options News Roundup – 10/9/2015

    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. VIX Weeklys Options Are Here - This Week CBOE added VIX options to its suite of Weeklys contract offerings yesterday.  Volume on the first day was more than 4,300 contracts, while volume through mid-day today was already approaching an estimated 40,000 contracts.  VIX Weeklys options contracts will allow investors[...]

  • Market News | VIX | Futures | Oct 9, 2015, 10:44 AM

    VIX Weeklys Options Launched – In VIX Options Chain; More Precision and Responsiveness

    VIX Weeklys Options Launched – In VIX Options Chain; More Precision and Responsiveness

    Yesterday (October 8) was the first day of trading for the VIX Weeklys options, with reported trading volume topping 1,000 contracts. VIX OPTIONS CHAIN A key feature of the new VIX Weeklys options is that they are in the same options chain as the standard-expiration VIX options.  This screenshot below from Bloomberg on the morning of October 9 shows that there now are VIX options expirations on Oct 21, Oct. 28, Nov. 4, Nov. 18, and Dec. 16 (in addition, there are VIX options with longer dated[...]

  • Market News | VIX | Trader Talk | Futures | Oct 3, 2015, 12:00 PM

    The Week in VIX - 9/28 - 10/2

    The Week in VIX - 9/28 - 10/2

    Despite the S&P 500 rising over 1% last week VIX remained over 20.00 for the 30th straight day although it did drop by over 11%.  This run goes back to the beginning of the heightened levels of volatility that began back on August 21st.  The curve below shows that the curve based on standard monthly VIX futures went from backwardation to kind of crooked (that’s not a technical term).  I say crooked because depending on your definition of backwardation or contango the closing[...]