VIX Archives - CBOE Blogs

  • VXX Block Trade from Monday

    VXX Block Trade from Monday

    Monday of this week was one of the more exciting days we have had in 2015. That’s probably an understatement since VIX futures volume was the highest it has been this year. When the S&P 500 is down and volatility is up there are traders always looking to take the other side of the move. Either through selling volatility or through getting long the stock market. The iPath S&P 500 Short Term Futures ETN (VXX) market is one instrument that can move quickly to the upside when the S&P[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Jun 29, 2015, 5:52 PM

    Today in VIX, SPX, and RUT - 6/29/2015

    Today in VIX, SPX, and RUT - 6/29/2015

    A lot went on today as the Greece thing seemed to come to a head. Below are some highlights with respect to the CBOE Volatility Index, the S&P 500, and the Russell 2000 with respect to the reaction of global markets to the news out of Greece. Spot VIX rose just over 34% and the front month July futures contract was up almost 20%. Volume in VIX futures appears to have topped 400,000 for the first time this year. July and August settled within a tick of each other which is a positive for the long[...]

  • Market News | VIX | Trader Talk | Jun 29, 2015, 5:08 PM

    Five Volatility Indexes Rose More Than 30% Today, As Worldwide Stocks and Oil Prices Fell on News Out of Greece

    Five Volatility Indexes Rose More Than 30% Today, As Worldwide Stocks and Oil Prices Fell on News Out of Greece

    In the past couple of days, news out of Greece regarding capital capital controls and bank closings had a worldwide negative impact on stock and oil prices, while five of CBOE’s volatility indexes rose more than 30%, and volume in VIX futures soared to an estimated 415,000 contracts. After news about the closures of Greek banks broke over the weekend, VIX futures volume in the 5 pm (Sunday) to 2 am CT session was a record 32,617 (estimated) contracts, an all-time record for that time period. Investors[...]

  • Market News | VIX | Trader Talk | Education | Jun 28, 2015, 10:59 AM

    The Week in Russell 2000 Trading - 6/22 - 6/26

    The Week in Russell 2000 Trading - 6/22 - 6/26

    Both indexes were lower last week, but the Russell 2000 (RUT) slightly outperformed the Russell 1000 (RUI) and continued to maintain a wide performance gap for 2015. The chart below indexes both the RUT and RUI to 100 as of the last day of 2014 to get an apples to apples visual of their respective performance. As of Friday RUT was up 6.23% while RUI has gained 2.58% this year. The CBOE Russell 2000 Volatility Index (RVX) was down 0.05 for the week finishing at 16.18 while the CBOE Volatility[...]

  • Market News | VIX | Trader Talk | Futures | Jun 27, 2015, 9:41 AM

    The Week in Volatility Indexes and ETPs - 6/22 - 6/26

    The Week in Volatility Indexes and ETPs - 6/22 - 6/26

    VIX rose less than one half one percent last week as the S&P 500 was down slightly. I would normally say there was not much change in risk perception for the broad US stock market, but that seems to be only true at the 30-day time horizon.   Note the VXST – VIX – VXV – VXMT term structure chart below shows a rise in VXST (9-day), but also a drop in VXV (3-month) and VXMT (6-month) last week. It may just be that despite the continued pushing out of the problems related[...]

  • Market News | VIX | Blogging Options | Jun 26, 2015, 1:50 PM

    The Weekly Options News Roundup – 6/26/2015

    The Weekly Options News Roundup – 6/26/2015

    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. Stock Market Less Volatile; Bonds, Not So Much The overall market has seen little volatility over the past few months, but bonds have been on a turbulent ride.  The CBOE/CBOT 10-Year Treasury Note Volatility Index (TYVIX) can help navigate the volatility in bonds, as explained by CBOE’s Research Director[...]

  • Market News | VIX | Trader Talk | Strategy | Jun 25, 2015, 11:25 AM

    Block Trades - One Bullish and One Bearish VIX Option Trade

    Block Trades - One Bullish and One Bearish VIX Option Trade

    When I disagree with someone with respect to an outlook for the market or particular stock I with often use the phrase, “that’s what makes a market”. What I mean by that is it takes people with differing opinions to create a viable and tradeable market. As I was looking at the trading activity in the VIX option arena earlier this week I can across one bullish and one somewhat bearish trade that occurred on the same day. First I’ll take a quick look at the bullish trade. Early[...]

  • Market News | VIX | Trader Talk | Futures | Jun 20, 2015, 12:37 PM

    The Week in VIX - 6/15 - 6/19

    The Week in VIX - 6/15 - 6/19

    I promise there are two curves on the figure below showing the week over week changes for VIX and the active VIX futures contracts. All were higher with the exception of the December contract which finished the week unchanged. This just increased the ‘divot’ that we see each year with December volatility. Trading wise, someone used the Thursday dip in VIX to take a bullish position on volatility using July VIX Options. This trade took the form of buying the VIX Jul 17 Call for 1.10 and[...]

  • Market News | VIX | Jun 19, 2015, 2:32 PM

    The Weekly Options News Roundup – 6/19/2015

    The Weekly Options News Roundup – 6/19/2015

    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. VIX Trading Going Global The interconnectedness of today’s global markets is underscored by the impact that macroeconomic incidents in one corner of the world have on another.  Volatility doesn’t sleep, and now, neither does trading VIX (and SPX) options. “CBOE Extends VIX and SPX Options Trading[...]

  • Market News | VIX | Trader Talk | Futures | Strategy | Jun 18, 2015, 10:50 AM

    Block Trade Analysis - Short VIX Straddle + Long OTM Call

    Block Trade Analysis - Short VIX Straddle + Long OTM Call

    The June 2015 VIX futures and options met their demise on the open yesterday with settlement coming in at 14.67. One trader moved on to the following month with a trade structure that is unique in the option world, but pretty common in VIX world. Mid-morning on Wednesday a trader sold 22,800 VIX Jul 15 Calls for 1.73 and 22,800 VIX Jul 15 Puts at 1.18 who then completed the trade through purchasing 22,800 VIX Jul 22 Calls at 0.72 for a net credit of 2.19. The payoff at expiration appears below with[...]

  • Market News | VIX | Trader Talk | Education | Trade Ideas | Jun 11, 2015, 2:00 PM

    The Big $VIX Trade - Part 3

    The Big $VIX Trade - Part 3

    The title of this blog refers to three parts and this is because we just had the third trade in the ongoing saga of a large 1 x 2 call spread in VIX options come into the VIX option pit yesterday.  There is actually another piece to the puzzle as when the first trade was initiated part of the transaction involved a large sale of call options and that position may still be open.  I do my best to keep blogs short, but I’m going to run through all three transactions individually and[...]

  • VIX | Blogging Options | Trader Talk | Jun 10, 2015, 12:39 PM

    CBOE Mid-Day Update 6.10.15

    CBOE Mid-Day Update 6.10.15

    Volatility as an asset class Netflix (NFLX) is recently up $35.57 to $682.60 as shares trade at a record high on UBS raising its price target to $722 from $600 citing international launches, its superior content position, solid subscriber growth and reasonable valuation. June weekly call option implied volatility is at 32, June is at 30, July is at 40, October is at 37; compared to its 52-week range of 24 to 87. Johnson Controls (JCI) is recenlty up $2.74 to $54.30 after announcing that it is exploring[...]

  • VIX | Blogging Options | Trader Talk | Jun 10, 2015, 8:44 AM

    Blogging Options: CBOE Morning Update 6.10.15

    Blogging Options:  CBOE Morning Update 6.10.15

    Volatility as an asset class Netflix (NFLX) is recently up $7.55 to $654.70 in the premarket after UBS raised its price target to $722 from $600 citing international launches, its superior content position, solid subscriber growth and reasonable valuation. June weekly call option implied volatility is at 26, June is at 27, July is at 40, October is at 37; compared to its 52-week range of 24 to 87. Tesla (TSLA) is recently down 50c to $255.50 in the premarket after announcing the retirement of CFO[...]

  • Market News | VIX | Trader Talk | Jun 9, 2015, 6:30 PM

    Russell 2000 Volatility and the Reconstitution Process

    Russell 2000 Volatility and the Reconstitution Process

    June means a lot of things to a lot of people such as kids getting out of school, finally putting away the snow blower in Chicago, or anticipating a well-deserved vacation.  For market watchers June means it is time for the Russell Reconstitution process. I spend a good amount of time focusing on market volatility, both historical and implied volatility.  Historical volatility can be obtained through a simple calculation on any financial market, whether it is a stock price, index, or even[...]

  • VIX | Blogging Options | Trader Talk | Jun 9, 2015, 1:37 PM

    CBOE Mid-Day Update 6.9.15

    CBOE Mid-Day Update 6.9.15

    Volatility as an asset class IShares Barclay 20+ YR Treasury ETF (TLT) is recently down 58c to $116.90 into FOMC meeting on June 16-17. June weekly call option implied volatility is at 16, June is at 17, July and August is at 16; compared to its 52-week range of 9 to 18. Proshares UltraShort Barc 20 Year Treasury ETF (TBT) is recently up 50c to $50.78. June weekly call option implied volatility is at 30, June is at 33, July is at 31, August is at 32, September is at 33; compared to its 52-week range[...]