VIX Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Futures | Jan 17, 2015, 1:00 PM

    Last Week in VIX - 1/12 - 1/16

    Last Week in VIX - 1/12 - 1/16

    If the January VIX futures could speak they probably would say something like, “I told you so”. Of course the contracts can’t speak, but the point behind this is a week ago the January contract closed at a pretty substantial premium to VIX relative to recent history. A week later both the January contract and spot VIX are higher. Remember VIX futures are priced based on a risk premium associated with being short volatility or the anticipation that VIX make move up in the near term.  [...]

  • Market News | VIX | Trader Talk | Futures | Jan 16, 2015, 8:26 PM

    Last Week in Volatility Indexes and ETPs - 1/12 - 1/16

    Last Week in Volatility Indexes and ETPs - 1/12 - 1/16

    Despite Friday’s rally, the S&P 500 was down four of five days and gave up about 1.25% last week. At the worst point the S&P 500 was down over 3% on the week and then of course it shook off the dip and rallied to end the week. You can’t keep a good market down nor does it appear can the bears keep this market down either. All four of the S&P 500 oriented volatility indexes were higher for the week. And the curve became slightly inverted. VXST is higher than the three other[...]

  • Market News | VIX | Trader Talk | Jan 16, 2015, 3:05 PM

    The Weekly Options News Roundup – 1/16/2015

    The Weekly Options News Roundup – 1/16/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. “CBOE is a Products Company” Building off of a successful 2014, CBOE looks to continue expanding its volatility and index product lines in the coming year.  CBOE has tapped into the interest rate and foreign exchange spaces with new volatility indexes, while it recently announced a tie-up with MSCI[...]

  • VIX | Blogging Options | Trader Talk | Jan 16, 2015, 12:44 PM

    CBOE Mid-Day Update 1.16.15

    CBOE Mid-Day Update 1.16.15

    Volatility as an asset class PNC Financial (PNC) is recently up $1.49 to $83.90 after reporting Q4 EPS $1.84, compared to consensus $1.74. February call option implied volatility is at 22, May is at 19; compared to its 26-week average of 18. Comerica (CMA) is recently up 51c to $41.74 after reporting Q4 EPS 80c, compared to consensus 77c. February call option implied volatility is at 30, April is at 28; compared to its 26-week average of 22. SunTrust (STI) is recently up $1.33 to $38.04 after reporting[...]

  • VIX | Blogging Options | Trader Talk | Jan 15, 2015, 12:43 PM

    CBOE Mid-Day Update 1.15.15

    CBOE Mid-Day Update 1.15.15

    Volatility as an asset class Citi (C) is recently down $1.24 to $47.83 on the money center sees FY15 revenue growth for Citicorp in low to mid-single digit percentage.  January weekly call option implied volatility is at 31, February is at 27, March is at 26; compared to its 26-week average of 22. Lennar (LEN) is recently down $3.40 to $42.37 on the home builder says it’s still in early stages of 'protracted, slow growth' housing recovery. February call option implied volatility is at[...]

  • Market News | Technical Analysis & Charts | VIX | Education | Jan 14, 2015, 2:00 PM

    New Study – Funds That Use Options (Part 3 on Related Benchmarks & SPX Options)

    New Study – Funds That Use Options (Part 3 on Related Benchmarks & SPX Options)

    A groundbreaking new study -- “Highlights of Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs” authored by Keith Black and Edward Szado -- analyzed SEC-regulated investment companies that focus on use of exchange-listed options for portfolio management (options-based funds). This is my Part 3 Blog on the study. The first part of the study presented an analysis of Options-Based Funds over the past 15 years, while the second part focused on the performance of options-based[...]

  • VIX | Blogging Options | Trader Talk | Jan 14, 2015, 11:47 AM

    CBOE Mid-Day Update 1.14.15

    CBOE Mid-Day Update 1.14.15

    Volatility as an asset class JPMorgan (JPM) is down $2.54 to $56.29 after reporting Q4 EPS $1.19, consensus $1.31. January call option implied volatility is at 29, February is at 24, April is at 23, June is at 22; compared to its 26-week average of 19. Wells Fargo (WFC) is off 79c to $51.06 after reporting in line Q4 EPS of $1.02.  January call option implied volatility is at 23, February and April is at 20; compared to its 26-week average of 18. General Motors (GM), down 3% after giving 2015[...]

  • Market News | VIX | Blogging Options | Trader Talk | Jan 14, 2015, 7:55 AM

    Blogging Options: CBOE Morning Update 1.14.15

    Blogging Options: CBOE Morning Update 1.14.15

    JP Morgan off over $1 on missing top and bottom line estimates.  Overseas news started stocks lower with Italian Premier resigning, the Euro falling to a multi-year low and copper prices collapsing.  US December Retail Sales, estimated to benefit with falling oil prices, fell 0.9% (sharpest drop in 2 1/2 years) X-Autos and Oil Sales fell 0.4%.  10-year trades 1.79%.   GPRO, hammered yesterday, stabilizes above $50 after AAPL enters remote camera market. ~32 K VIX Futures trade[...]

  • VIX | Blogging Options | Trader Talk | Jan 13, 2015, 11:49 AM

    CBOE Mid-Day Update 1.13.15

    CBOE Mid-Day Update 1.13.15

    Volatility as an asset class Costco (COST) is recently up 62c to $143.17 after Goldman Sachs downgraded citing the recent valuation expansion and its belief the retailer’s earnings momentum is close to peaking.  January call option implied volatility is at 17, February is at 16, July is at 15; compared to its 26-week average of 16. Monster Beverage (MNST) is recently up $3.97 to $115.93 after Stifel raised its price target on the stock and Wells Fargo downgraded the shares to Market Perform[...]

  • VIX | Blogging Options | Trader Talk | Jan 13, 2015, 9:21 AM

    Blogging Options: CBOE Morning Update 1.13.15

    Blogging Options: CBOE Morning Update 1.13.15

    Stocks look stronger across the board, Crude down, US Dollar higher.  Growing optimism on Q1 Earnings after Alcoa beat last night.  VIX looks down one point.  Volatility as an asset class Alcoa (AA) is down $0.10 to $16.30 in the premarket after beating Wall Street estimates on both the top and bottom line.  January call option implied volatility is at 59, February is at 39, April is at 34, July is at 33; compared to its 26-week average of 32. Best Buy (BBY) is up $0.40 to $39.49[...]

  • Technical Analysis & Charts | VIX | Education | Jan 12, 2015, 12:40 PM

    Yields Continue To Fall Despite Looming Fed - Weekly Market Outlook

    Yields Continue To Fall Despite Looming Fed - Weekly Market Outlook

    Stocks were on pace to close last week out with a gain, thanks to Wednesdays and Thursday's big rebound.  But, solid news on the employment front sent stocks lower on Friday, and into the red for the week.  Still, the bulls were just strong enough to hold all the major indices above a key line in the sand, maintaining hope that stocks may find their way out of this lull and renew the bigger uptrend soon. We'll examine exactly how the bulls are hanging on to hope below, after a deeper inspection[...]

  • VIX | Blogging Options | Trader Talk | Jan 12, 2015, 11:32 AM

    CBOE Mid-Day Update 1.12.15

    CBOE Mid-Day Update 1.12.15

    Volatility as an asset class Auto manufacturer’s option implied volatility is mixed as the North American International Auto Show begins in Detroit. General Motors Co. (GM) over all option implied volatility of 27 compares to its 26-week average of 26. Toyota Motor Corp. (TM) over all option implied volatility of 20 compares to its 26-week average of 19. Tesla (TSLA) over all option implied volatility of 43 compares to its 26-week average of 46. Ford (F) over all option implied volatility of[...]

  • Market News | VIX | Trader Talk | Futures | Jan 11, 2015, 8:00 AM

    Last Week in Volatility Indexes and ETPs - 1/5 - 1/9

    Last Week in Volatility Indexes and ETPs - 1/5 - 1/9

    When we have volatile weeks like last week I will alter the various term structure of volatility charts included in these blogs. The first graphic is an example of this where I added Tuesday’s closing levels for VXST, VIX, VXV, and VXMT to the typical week over week curve. Something that really stands out to me on this graphic is the shape of the Tuesday close. There is no inversion with VXST moving to a premium relative to VIX and the levels at the far end of the curve (VXV and VXMT) are at[...]

  • Market News | VIX | Trader Talk | Jan 9, 2015, 2:49 PM

    The Weekly Options News Roundup – 1/9/2015

    The Weekly Options News Roundup – 1/9/2015

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. 2014: A Banner Year   Options trading in 2014 reached a new all-new high as industry volume rose 4% in 2014 from 2013. “Bull Market Hedging Was Boon for Exchange Volume in ’14: Options” – Sofia Horta e Costa and Inyoung Hwang, Bloomberg http://bloom.bg/1BIRisY CBOE Holdings Reports Record[...]

  • VIX | Blogging Options | Trader Talk | Jan 9, 2015, 1:45 PM

    CBOE Mid-Day Update 1.9.14

    CBOE Mid-Day Update 1.9.14

    Volatility as an asset class President Obama announced that he would ask Congress to provide free community college tuition for all Americans who are "willing to work for it". Publicly traded education companies in the space have flat option implied volatility. American Public Education (APEI) overall option implied volatility of 32 compares to its 26-week average of 34. Apollo Education (APOL) overall option implied volatility of 35 compares to its 26-week average of 36. Bridgepoint Education[...]