VIX Archives - CBOE Blogs

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 8:00 PM

    Emerging Market Volatility in 2014

    Emerging Market Volatility in 2014

    Despite the Brazilian market experiencing excessive volatility in 2014, the CBOE Emerging Markets ETF Volatility Index (VXEEM – 22.26) was at relatively low levels. The iShares Emerging Markets ETF (EEM – 39.29) ended 2014 down a little over 3% which was better than many market observers were expecting. Also, note on the chart below that VXEEM ended the year about where it started the year, which stands out relative to many other volatility indexes which finished the year higher than[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 7:26 PM

    Brazilian Volatility in 2014

    Brazilian Volatility in 2014

    The chart below shows what volatility does leading up to an uncertain election in an emerging market. The CBOE Brazil ETF Volatility Index (VXEWZ – 34.21) looked more like a chart of implied volatility for a one product biotech stock in front of a do or die FDA announcement. What happened after the election was a bit unexpected, at least by the author of this blog. Post—election volatility has remained high regardless of the performance of the iShares MSCI Brazil Capped ETF (EWZ –[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 4:15 PM

    Nasdaq-100 Volatility in 2014

    Nasdaq-100 Volatility in 2014

    Of the three broad based market indexes that have tradable volatility markets, the Nasdaq-100 (NDX – 4236.28) was the clear winner in 2014. NDX rose almost 18% on the year while the S&P 500 was up 11.4% and the Russell 2000 gained only 3.5%. With the tech and biotech sector in favor for most of 2014 volatility as priced in by NDX options was relatively low. The first thought I have when I look at the table below is disbelief. I’ve said this many times and I’m truly[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 2:17 PM

    Russell 2000 Volatility in 2014

    Russell 2000 Volatility in 2014

    As tough as 2014 was for small cap stock performance as represented by the Russell 2000 (RUT – 1204.70) the index did manage to put up a positive year. At the end of the third quarter the RUT was down just over 5% on the year so all the gains (and then some) for small cap stocks came in the fourth quarter. For most of 2014 the risk perception for holding small cap stocks was justifiably high. I wrote about this earlier this week in a blog about what the CBOE Russell 2000 Index[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 1:43 PM

    Oil Volatility in 2014

    Oil Volatility in 2014

    In 2013 it was gold, this year the price of oil took it on the chin and the result was the worst performance for the United States Oil ETF (USO – 20.36) since the dark days of 2008. There are all kinds of theories over what is actually going on in the energy markets. I’m going to keep mine to myself and focus on what the numbers say. With USO dropping 42% in 2014 and most of that coming in the fourth quarter the CBOE Crude Oil ETF Volatility Index (OVX – 50.24) reached levels not[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 12:54 PM

    Gold Volatility in 2014

    Gold Volatility in 2014

    In 2014 the price of Gold did not have any of the headline grabbing moves like those that occurred in 2013. The SPDR Gold Shares ETF (GLD – 113.58) finished the year down a little over 2% and was down 1.4% on the last day of the year. If we had taken New Year’s Eve off GLD was have been practically unchanged on the year. The chart below shows the daily closing prices for GLD and the CBOE Gold ETF Volatility Index (GVZ – 20.08) for this past year. If it were not for the fourth quarter[...]

  • Market News | VIX | Trader Talk | Futures | Jan 1, 2015, 11:40 AM

    Volatility Indexes and ETPs in 2014

    Volatility Indexes and ETPs in 2014

    During the first half of 2014 I got to have several conversations about whether or not VIX was ‘broken’ since the average level for VIX was so low. Needless to say I haven’t fielded a single call or email about VIX being broken since October. 2014 was a pretty interesting year in volatility trading. More market participants have become involved in the volatility markets through VIX future, options, or ETPs. The table below shows the year over year change for the S&P 500, volatility[...]

  • VIX | Blogging Options | Trader Talk | Dec 31, 2014, 1:45 PM

    Blogging Options: CBOE Mid-Day Commentary 12.31.14

    Blogging Options: CBOE Mid-Day Commentary 12.31.14

    Stocks drifting at lower levels as the final bell of 2014 grows near.  SPX & NASDAQ with double-digit gains for 2014.  Volume very light early this afternoon, as expected.  VIX up 20% to trade with a 19 handle. Have a good New Years Eve and day, Don't forget Chicago BlackHawks at noon CST tomorrow as they play outdoors in Washington, D.C.  Volatility as an asset class Technology device stocks option implied volatility is flat into International CES that opens in Las Vegas[...]

  • Technical Analysis & Charts | VIX | Education | Dec 30, 2014, 3:00 PM

    The CBOE Skew Index Reaches Levels That Say A Correction May Be Coming

    The CBOE Skew Index Reaches Levels That Say A Correction May Be Coming

    (Editors Note:  This sent to us from Bob Lang late last Friday night.  Enjoy) I wrote about the CBOE Skew Index here a couple of months ago and talked about how it had become a fantastic predictor of correction market moves in 2014. To review, the skew index is a compilation of bets placed on out of the money options, mostly puts. These bets are 'looking' for a big move south very quickly, perhaps the result of some sort of 'black swan' event. For the most part, these tail risk bets rarely[...]

  • Market News | VIX | Dec 30, 2014, 9:56 AM

    Everyone Loves Small Cap Stocks - But What Does the Market Say?

    Everyone Loves Small Cap Stocks - But What Does the Market Say?

    For most of 2014 the Russell 2000 has been the red headed step child of the US equity market. Small caps ruled the roost in 2013 but lost their luster for most of this year. That is until recently. I’m currently taking the week off from CBOE which means I spend all day watching the business networks. I hear lots of positive comments regarding small cap stocks and their prospects for next year. It is one thing to hear people on TV tell us such things, but it is more important to see some numbers[...]

  • VIX | Education | Dec 29, 2014, 7:03 PM

    Homeowner's Insurance, VIX, and the Hurricane Analogy

    Homeowner's Insurance, VIX, and the Hurricane Analogy

    When we introduce aspiring option traders to the various pricing factors that determine the value of an option contract we often use an insurance analogy to describe implied volatility. The short version of the story is that implied volatility is the pricing factor that is closely associated with the risk of price movement in the underlying market.  We expand on this idea using the idea of the cost of homeowner’s insurance as a hurricane is bearing down on south Florida. If a homeowner[...]

  • VIX | Blogging Options | Trader Talk | Dec 29, 2014, 8:08 AM

    Blogging Options: CBOE Morning Update 12.29.14

    Blogging Options: CBOE Morning Update 12.29.14

    Markets digesting the gains of the last few weeks.  Elections in Greece trying to pull markets lower this morning, and oil disruptions in Libya have Brent Crude trading higher.  Full trading schedule through Wednesday, trains empty on way in this morning.  Volatility as an asset class Manitowoc (MTW) is up $2.09 to $23.01 in the pre-market after activist investor Carl Icahn revealed in a regulatory filing that he has taken a 7.7% stake in the maker of heavy cranes and food service[...]

  • Market News | VIX | Trader Talk | Futures | Dec 27, 2014, 6:34 PM

    The Week in VIX - 12/22 - 12/26

    The Week in VIX - 12/22 - 12/26

    On Friday VIX rose as the S&P 500 hit the 52nd record high of 2014. I got a question via Twitter about VIX rising when the S&P 500 rises. About 20% of trading days witness VIX and the S&P 500 moving in the same direction, but when the S&P 500 is making a new high it may turn some heads. I think part of the small rise in VIX on Friday may be attributed to the holiday impact on the VIX calculation. What I mean by that is when we closed Wednesday the markets were closed for a day and[...]

  • Market News | VIX | Trader Talk | Futures | Dec 27, 2014, 10:37 AM

    The Week in Volatility Indexes and ETPs - 12/22 - 12/26

    The Week in Volatility Indexes and ETPs - 12/22 - 12/26

    This past week the S&P 500 recorded a record high on 3 of the 4 trading days with Friday being number 52 in 2014. I did some digging on this topic and 52 new highs in a year is less than the number of new highs just last year. Last year the S&P 500 set 69 new highs, but that still isn’t the record number of new highs in a single year. 1995 holds that distinction with the S&P 500 closed at a record level 77 times. The term structure curve is returning to normal based on the price[...]

  • VIX | Blogging Options | Trader Talk | Dec 26, 2014, 12:55 PM

    CBOE Mid-Day Update 12.26.14

    CBOE Mid-Day Update 12.26.14

    Volatility as an asset class Oil indexes and ETF option implied volatility is elevated as WTI Crude oil trades below $57 ProShares Ultra DJ-UBS Crude Oil (UCO) overall option implied volatility of 92 compares to its 26-week average of 45. Energy Select Sector SPDR (XLE) overall option implied volatility of 26 compares to its 26-week average of 23. United States Natural Gas Fund (UNG) overall option implied volatility of 59 compares to its 26-week average of 37. Oil Services Holders Trust (OIH) overall[...]