VIX Archives - Cboe Blogs

  • Market News | VIX | Blogging Options | Oct 2, 2015, 3:00 PM

    The Weekly Options News Roundup – 10/03/2015

    The Weekly Options News Roundup – 10/03/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. CBOE RMC Europe Recap CBOE hosted its 4th annual CBOE RMC Europe from Monday through Wednesday this week.  Over 175 industry professionals gathered in Geneva, Switzerland to discuss the latest products and strategies for managing risk, enhancing yields and lowering portfolio volatility.  EQ Derivatives was[...]

  • VIX | Trader Talk | Trade Ideas | Oct 2, 2015, 12:29 PM

    I'm Way Out on the Ice

    I'm Way Out on the Ice

    Let me get right down to numbers, since there will be a lot of numbers amongst the words. In the last post I detailed a bunch of long calls, and an update on those is overdue.  In review:  I had allocated a large (to me) (when it is a risky proposition) amount of money toward seven of the December SVXY calls at the 40 strike, paying about $12.30 each for them (translated to real cost:  $1,230.00 each or $8,610 in total - I'm rounding and ignoring commissions here) when SVXY was about[...]

  • Market News | VIX | Blogging Options | Sep 29, 2015, 7:45 AM

    From RMC Europe: CBOE President and COO Edward Provost on CBOE’s New Initiatives      

    From RMC Europe: CBOE President and COO Edward Provost on CBOE’s New Initiatives      

    CBOE President and COO Edward Provost began Day Two of CBOE RMC Europe in Switzerland with a global perspective, highlighting CBOE updates that will create new opportunities for international traders. Provost called it “gratifying” to open with a VIX product update, noting that some of the earliest adopters in VIX futures and options trading were in Geneva and Zurich. By working with customers, including RMC Europe attendees, CBOE has been able to create a volatility product that more[...]

  • VIX | Trader Talk | Education | Futures | Trade Ideas | Sep 27, 2015, 2:20 PM

    New White Paper Discusses Volatility as a Small Cap Portfolio Hedge

    New White Paper Discusses Volatility as a Small Cap Portfolio Hedge

    A new white paper from our partners over at Russell Indexes Research discusses the merits of using futures on the CBOE Russell 2000 Volatility Index (RVX) to hedge small cap risk.  In the paper “RVX futures as a hedge for small cap-specific risk” Barry Feldman covers volatility products that are currently available to hedge downside risk in equity portfolios and then goes on to compare using VIX futures and RVX futures to hedge a small cap focused portfolio. Feldman uses the market[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 27, 2015, 7:01 AM

    The Week in Russell 2000 Trading - 9/21 - 9/25

    The Week in Russell 2000 Trading - 9/21 - 9/25

    For the previous couple of weeks small cap stocks were the place to be.  That fad came to an abrupt end last week as the Russell 2000 (RUT) dropped almost 3.5%.  Over the same period of time the large cap focused Russell 1000 (RUI) was lower by 1.57%.  In addition to trailing RUI for the week, RUT is now 6.8% lower for 2015 while the RUI is down 5.92%. For a while it appeared the CBOE Russell 2000 Volatility Index (RVX) was going to return to ‘normal’ levels when compared[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 26, 2015, 2:05 PM

    The Week in VIX - 9/21 - 9/25

    The Week in VIX - 9/21 - 9/25

    The S&P 500 lost just over 1% and VIX rose 6% and the standard near dated futures were higher as well, but lagged a bit.  This resulted in the curve a bit more backward than it was a week ago. On the short dated futures front the contract expiring this coming Wednesday finished the week at a small discount to VIX while a week ago the contract that settled this past Wednesday was at a slight premium to VIX.  I’m still getting familiar with the short dated curve which move from[...]

  • Market News | VIX | Trader Talk | Education | Futures | Sep 26, 2015, 10:44 AM

    The Week in Volatility Indexes and ETPs - 9/21 - 9/25

    The Week in Volatility Indexes and ETPs - 9/21 - 9/25

    With the drop in the S&P 500 last week the market continues to be on edge.  This is reflected in the uniform move higher in the VXST – VIX – VXV – VXMT curve from last week.  Note the ‘bump’ remains on the VXV data point which represents 3 month implied volatility.  This time frame is the first on the chart below to come after the last two Fed meetings in 2015.  It will be interesting to see if a change in the shape curve coincides with the approach[...]

  • Market News | VIX | Sep 25, 2015, 3:00 PM

    The Weekly Options News Roundup – 9/25/2015

    The Weekly Options News Roundup – 9/25/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. Bonds Are At It Again There is considerable uncertainty in the interest rate markets creating a volatile, yet fragile, bond market.   Global asset managers can watch the “interest rate VIX” – the CBOE/CBOT 10-Year US Treasury Note Volatility Index (TYVIX) -- for clues. “The TYVIX Index:[...]

  • Market News | VIX | Trader Talk | Education | Sep 24, 2015, 1:51 AM

    RMC Europe Day 2 Preview

    RMC Europe Day 2 Preview

    The second day is always the most jam packed day at Risk Management and this year’s European stop in Geneva is full of thought provoking presentations. The day begins with a welcome address from Ed Provost, President and COO of CBOE Holdings.  The welcome address normally touches on new product initiatives and I look forward to finding out what CBOE has in store.  Paul Donovan, the Global Economist from UBS follows the welcoming address delivering a presentation titled, “It[...]

  • Market News | VIX | Sep 20, 2015, 7:00 AM

    The Week in Russell 2000 Trading - 9/14 - 9/18

    The Week in Russell 2000 Trading - 9/14 - 9/18

    Once the dust had settled last week, large cap stocks dropped slightly with the Russell 1000 losing 0.10%.  Small cap stocks were the place to be, at least on a week over week basis, as the Russell 2000 rose 0.48%.  It was a frantic trading week due to the first FOMC meeting in a very long time that had some debate and uncertainty as to what the ‘Fed was going to do’.  They did nothing and small cap stocks liked it more than large cap stocks. The relationship between the[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Sep 19, 2015, 12:00 PM

    The Week in VIX - 9/14 - 9/18

    The Week in VIX - 9/14 - 9/18

    VIX was slightly lower despite the S&P 500 dropping a little last week.  I would not read anything into this slight market anomaly(both SPX and VIX dropping last week).  VIX actually showed the type of behavior we are accustomed to with equity implied volatility leading up to and after an earnings report.  Just think of the FOMC announcement as a kind of earnings announcement for the equity markets. The September contract settled Wednesday last week and now October is the front[...]

  • Market News | VIX | Trader Talk | Education | Sep 19, 2015, 5:42 AM

    The Week in Volatility Indexes and ETPs - 9/14 - 9/18

    The Week in Volatility Indexes and ETPs - 9/14 - 9/18

    All four of the S&P 500 oriented volatility indexes dropped last week as we finally got the September FOMC meeting behind us.  At this point there are two more meetings in 2015.  What I find interesting is VXV, which is a measure of 3 month expected volatility held up more than the other three indexes.  It just so happens that 3 months from this week is also the final FOMC meeting of the year. In the ETN space, VXX, UVXY, and TVIX gave up more of the recent gains despite the VIX[...]

  • Market News | VIX | Blogging Options | Sep 18, 2015, 3:00 PM

    The Weekly Options News Roundup – 9/18/2015

    The Weekly Options News Roundup – 9/18/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. All Eyes on the Fed It was all about the Fed this week – would they or won’t they?  Market participants kept close tabs on the CBOE Volatility Index this week as it drifted slightly lower heading into yesterday’s no hike announcement. "VIX at 24 Leaves U.S. Stocks With No Road Map for Fed[...]

  • VIX | Trader Talk | Trade Ideas | Sep 16, 2015, 9:24 AM

    I Don't Usually Trade Long Options...But When I Do

    I Don't Usually Trade Long Options...But When I Do

    Who buys calls?  Who buys puts?  I often wonder this, as I am usually the one selling them to others.  Do buyers really think they're going to profit from them?  Is a real person buying them?  Is it a bank, or a "market maker" (they are people, right?  I admit I'm confused about those mythical creatures.) Anyway, it's a rare happenstance that I think a call or put is worth buying.  One thing that makes an option attractive to me is its structure of being[...]

  • VIX | Trader Talk | Education | Trade Ideas | Sep 13, 2015, 2:06 PM

    The Week in Russell 2000 Trading - 9/8 - 9/11

    The Week in Russell 2000 Trading - 9/8 - 9/11

    Small and large cap stocks moved higher in sync last week with both the Russell 1000 (RUI) and Russell 2000 (RUT) gaining about 2%.  Both are still lower for the year with RUI down 4.32% and RUT down 3.89%. On the volatility front VIX finished the week at about a 5% discount to the CBOE Russell 2000 Volatility Index (RVX).  Historically RVX is usually at about a 20% premium to VIX, however, in times of global crisis or higher levels of volatility the two tend to converge.  The recent[...]