VIX Archives - CBOE Blogs

  • VIX | Trader Talk | May 2, 2015, 2:02 PM

    The Week in VIX - 4/27 - 5/1

    The Week in VIX - 4/27 - 5/1

    VIX was up slightly this past week as the S&P 500 dropped a little. VIX futures were down across the board as the lack of movement from VIX. This small disconnect can be attributed to the market getting past a couple of known unknowns (FOMC & GDP). We did have one day of excitement as the S&P 500 was down significantly on Thursday which pushed VIX into the 15’s and kept the May VIX future trading with a 16 handle the whole day. That excitement was short lived as the S&P 500[...]

  • Market News | VIX | Trader Talk | Futures | May 2, 2015, 8:31 AM

    The Week in Volatility Indexes and ETPs - 4/27 - 5/1

    The Week in Volatility Indexes and ETPs - 4/27 - 5/1

    If you took last week off from trading and are playing a little catch up this morning the week over week term structure chart appears to say you didn’t miss much. Aa I type this I think, who would take a break when GDP and FOMC announcements are on the schedule, but now I am getting back on track. Since the picture above misses a 20 point S&P 500 drop on Thursday followed by a 20 point gain on Friday I decided to create a graph showing the lows and highs for VXST, VIX, VXV,[...]

  • Market News | VIX | Trader Talk | May 1, 2015, 3:06 PM

    The Weekly Options News Roundup – 5/1/2015

    The Weekly Options News Roundup – 5/1/2015

    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. Weeklys – The Short-Term Play Weeklys options, which allow investors to fine-tune the timing of their hedging and trading activities, continue to grow in popularity.  Earlier today, CBOE Holdings announced it will launch VIX Weeklys futures and options in the coming months, pending regulatory review and approval. “Big[...]

  • VIX | Blogging Options | Trader Talk | May 1, 2015, 12:21 PM

    CBOE Mid-Day Update 5.1.15

    CBOE Mid-Day Update 5.1.15

    Volatility as an asset class FireEye (FEYE) is recently up $3.03 to $44.34 after the information security firm reported a lower than expected Q1 operating loss and provided better than expected guidance. May call option implied volatility is at 41, June is at 40; compared to its 26-week average of 59. First Solar (FSLR) is recently down $2.59 to $57.12 after reporting weaker than expected Q1 results but provided higher than expected Q2 EPS guidance. May call option implied volatility is at 34, June[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Futures | May 1, 2015, 10:08 AM

    Weekly Market Commentary 5.1.15

    Weekly Market Commentary 5.1.15

    Stocks dawdled at or just above the previous all-time highs, but couldn't convincingly push through with a strong move.  As a result, things began to deteriorate. Now, 2070 has some significance. If $SPX breaks down below 2070, a more bearish scenario should unfold. Equity-only put-call ratios are still on buy signals.  Both have "wiggles" curling upwards after Thursday's big down day, but they remain on buy signals. Market breadth has been somewhat weak of late, and that has[...]

  • VIX | Blogging Options | Trader Talk | Apr 30, 2015, 11:49 AM

    CBOE Mid-Day Update 4.30.15

    CBOE Mid-Day Update 4.30.15

    Volatility as an asset class TASER (TASR) is recently up $2.60 to $30.71 on better than expected Q1 results, primarily driven by increased TASER X26P and TASER X2 Smart Weapon sales. May call option implied volatility is at 45, June is at 41, September is at 43; compared to its 26-week average of 53. WWE (WWE) is recently down 55c to $13.81 after the entertainment company reported Q1 EPS 13c, compared to consensus 2c.  May call option implied volatility is at 41, June is at 40, July is at 37;[...]

  • VIX | Blogging Options | Trader Talk | Apr 29, 2015, 11:57 AM

    CBOE Mid-Day Update 4.29.15

    CBOE Mid-Day Update 4.29.15

    Volatility as an asset class MasterCard (MA) is recently up 62c to $90.86 on better than expected Q2 profit but warns of currency headwinds.  May weekly call option implied volatility is at 29, May is at 22, June is at 19, October is at 20; compared to its 26-week average of 23. Starwood (HOT) is recently up $6.15 to $86.99 after announcing its exploring strategic and financial alternatives. May call option implied volatility is at 27, June is at 24, August is at 25; compared to its 26-week[...]

  • Market News | VIX | Blogging Options | Trader Talk | Apr 29, 2015, 7:50 AM

    Blogging Options: CBOE Morning Update 4.29.15

    Blogging Options: CBOE Morning Update 4.29.15

    Q1 GDP showed a fractional gain of 0.2%, off from Q4 2014 2.2% gain and consensus estimate of 1.1% growth.  Weather, Dollar, dock strike - bulls coming forward with multiple excuses.  This on day FED will speak after noon.  Asian shares lower, Europe off as well (DAX down 1.3%). Oil off, Gold higher.  TWTR  with premature release of earnings off 2%.  LL says Justice Dept looking into its wood products, lower by 16%,  Sloppy opening. Volatility as an asset class: GoPro[...]

  • VIX | Trader Talk | Education | Futures | Apr 28, 2015, 1:07 PM

    A Brief History of SPX and VIX Reactions to Advanced GDP

    A Brief History of SPX and VIX Reactions to Advanced GDP

    This morning while conducting a webcast about VIX and extended hours trading I was asked a good question.  This means I didn't know the answer. Tomorrow at 7:30 Chicago time the first iteration of the 2015 First Quarter GDP number will be reported. This will be the first time this number has been released since CBOE began offering extended hours trading for VIX and SPX index options. While talking about this I was asked, “What does VIX usually do in reaction to the Advanced GDP release?”[...]

  • VIX | Blogging Options | Trader Talk | Apr 28, 2015, 11:41 AM

    CBOE Mid-Day Update 4.28.15

    CBOE Mid-Day Update 4.28.15

    Volatility as an asset class Merck (MRK) is recently up $2.90 to $60 on better than expected Q1 results and outlook. May call option implied volatility is at 18, June, July and October is at 17; compared to its 26-week average of 19. Bristol-Myers (BMY) is recently down to $64.35 on better than expected Q1 results and outlook. May call option implied volatility is at 23, June is 23, September is at 21; compared to its 26-week average of 22. UPS (UPS) is recently up $3.44 to $100.86 on better than[...]

  • Market News | VIX | Trader Talk | Futures | Apr 25, 2015, 2:55 PM

    The Week in VIX - 4/20 - 4/24

    The Week in VIX - 4/20 - 4/24

    VIX finished the week at 12.29 which is the lowest close since early December. Despite the S&P 500 making a new all-time high to finish the week, the May VIX futures settled at 14.625, a decent premium relative to VIX. We saw this last month until the Non-Farm Payrolls release. After the number the premium came in pretty quickly. We have to wait to see if the pattern repeats as the number does not come out until Friday May 8th. One of the most dynamic VIX spread trades is a risk reversal in[...]

  • Market News | VIX | Trader Talk | Futures | Apr 25, 2015, 10:26 AM

    The Week in Volatility Indexes and ETPs - 4/20 - 4/24

    The Week in Volatility Indexes and ETPs - 4/20 - 4/24

    The S&P 500 managed to reach a record high for the sixth time this year, but all the applause from bulls last week was for the Nasdaq-100 which made an all-time high for the first time in 15 years. All hail tech! All four volatility indexes that are based off S&P 500 option pricing moved lower last week and three of the four are below the 2014 average. Only VXMT, the 6 month version of VIX, remains elevated relative to the 2014 average. I guess bears may be throwing in the towel for the summer[...]

  • Market News | VIX | Trader Talk | Apr 24, 2015, 3:19 PM

    The Weekly Options News Roundup – 4/24/2015

    The Weekly Options News Roundup – 4/24/2015

    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. New Products at CBOE Options on the MSCI Emerging Markets Index (EM) and the MSCI EAFE Index (EAFE) made their trading debut on CBOE this week.  Andy Lowenthal, Vice President of Business Development at CBOE, discusses these products, and other initiatives, with CT Financial News. “Interview: CBOE Exec Talks[...]

  • VIX | Blogging Options | Trader Talk | Apr 24, 2015, 12:21 PM

    CBOE Mid-Day Update 4.24.15

    CBOE Mid-Day Update 4.24.15

    Volatility as an asset class Altera (ALTR) is recently down 46c to $41.63 after the semiconductor company reported Q1 results that missed expectations. May call option implied volatility is at 72, June is at 67, September is at 41; compared to its 26-week average of 28. American Airlines (AAL) is recently up $1.55 to $53 on Q1 earnings nearly doubling. May weekly call option implied volatility is at 34, May is at 37, June is at 34, August is at 36; compared to its 26-week average of 42. Comcast (CMCSA)[...]

  • Technical Analysis & Charts | VIX | Trader Talk | Apr 24, 2015, 10:30 AM

    Weekly Market Commentary 4.24.15

    Weekly Market Commentary 4.24.15

    Both bulls and bears are frustrated by recent action. Most recently, $SPX has made repeated attempts to challenge the all-time highs, but it has not yet been able to break out.  There is resistance in the 2110- 2120 area that has contained all advances. In any case, the $SPX chart is still neutral until it breaks out of the triangle in a convincing way. Equity-only put-call ratios have been bullish since around the first of the month. But this week, they began to curl upwards -- a move which[...]