VIX Archives - Cboe Blogs

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 14, 2017, 5:18 PM

    VIX and Three Day Weekends

    VIX and Three Day Weekends

    Another three-day weekend is sneaking up on us.  The result for those of us that have an unhealthy obsession with VIX is to talk about how a three-day weekend provides a headwind for VIX performance.  It has been awhile since I looked at the impact of holiday weekends so I downloaded data and got to work.  The reason we believe in the three-day weekend effect stems from how VIX is calculated.  VIX is a calendar day measure, so when we are approaching a day where the markets[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 12:20 PM

    Weekend Review of Russell 2000 Options and Volatility - 2/6 - 2/10

    Weekend Review of Russell 2000 Options and Volatility - 2/6 - 2/10

    Both the Russell 1000 (RUI) and Russell 2000 (RUT) were up about 0.80% for the week.  For the year, RUI still holds a performance lead of about 1.3%.  Just for fun and because it was a year ago this weekend that the US equity markets put in the 2016 lows I decided to see where things stood at that time.  As of February 11th of last year RUT was down 16.0% and RUI was down only 11.3%.  Man what a difference a year makes.  In the volatility space, the Russell 2000 Volatility[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 11:27 AM

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    Weekend Review of Volatility Indexes and ETPs - 2/6 - 2/10

    There was a slight and uniform shift lower in the term structure of S&P 500 related volatility indexes last week.  One might say this is a case of all indexes not having much more room to drop.  An ETN I don’t mention too much was interesting to me this week.  VXZ was unchanged on the week as the longer end of the VIX futures curve was mixed.  TYVIX also rebounded a bit at concerns over interest rates had been trending lower.  The March Fed meeting concludes on[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 12, 2017, 8:15 AM

    Weekend Review of VIX Futures and Options - 2/6 - 2/10

    Weekend Review of VIX Futures and Options - 2/6 - 2/10

    VIX was little changed last week as the S&P 500 moved higher.  When VIX has a ‘10’ handle and stocks move higher we tend not to see the sort of reaction we might see if VIX were at higher levels.  The most interesting thing below is the front two month futures contracts.  February, which goes off the board this coming week, lost 6% playing catch up with spot VIX.  March dropped almost 4%, but is still at a premium of about 2.50 to spot VIX. We get a heads up[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 7, 2017, 1:14 PM

    Finding Volatility in the US Equity Markets

    Finding Volatility in the US Equity Markets

    VIX is low, we all know VIX is low.  I type that and feel I need to stop channeling Dr. Seuss.  However, there are some pockets of volatility in the US equity markets, we just need to know where to look.  Since CBOE quotes several volatility indexes that are based on the US markets I went searching for places where the market is still pricing in a little concern about the future.  Two areas that stood out –  tail risk and small cap risk.  Let’s start with[...]

  • Market News | VIX | Trade Ideas | Feb 6, 2017, 9:14 AM

    Weekend Review of Volatility Indexes and ETPs - 1/30 - 2/3

    Weekend Review of Volatility Indexes and ETPs - 1/30 - 2/3

    VXST dropped while the other three volatility indexes based on S&P 500 index option pricing rose slightly.  This all happened despite a rise in the S&P 500 last week.  Probably the most notable thing on the table below is the rise in VVIX despite the stock market and VIX not doing much last week.  Focusing on the VIX related ETPs shows that the trend of short volatility being the place to be in 2017 continues to hold up. Looking outside the broad-based index volatility[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 6, 2017, 9:08 AM

    Weekend Review of VIX Futures and Options - 1/30 - 2/3

    Weekend Review of VIX Futures and Options - 1/30 - 2/3

    VIX rose slightly last week while all standard futures contracts lost value.  February settlement is a week and a half off so the longer VIX remains in the 10’s the more drift lower we should expect out of the front month future.  As the front month starts to approach settlement date, VIX option traders start to focus on farther dated contracts, normally rolling to the following month.  However, it seems skipping March is in vogue among VIX traders with many of last week’s[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Feb 6, 2017, 7:44 AM

    Weekend Review of Russell 2000 Options and Volatility - 1/30 - 2/3

    Weekend Review of Russell 2000 Options and Volatility - 1/30 - 2/3

    Small caps continue to close the gap on large cap stocks as the Russell 2000 (RUT) gained 0.52% last week while the Russell 1000 (RUI) was up by 0.18%.  On the volatility front the CBOE Russell 2000 Volatility Index (RVX) remains at the historical high end of value relative to VIX.  This can be attributed to VIX hovering around multiyear lows as much as RVX not following VIX to the lowest end of the range.   On Monday, as the first trading day of the week came to a close one trader[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jan 21, 2017, 1:58 PM

    Weekend Review of VIX Futures and Options - 1/17 - 1/21

    Weekend Review of VIX Futures and Options - 1/17 - 1/21

    The S&P 500 dropped a bit and VIX rose some last week.  For all the fear and uncertainty that has been in the air around the beginning of the Trump era in Washington DC, the markets have remained calm and not done a whole lot in the past few weeks.   We did get January VIX options settlement last week with VRO coming in at 12.42.  This is something I’m watching closely as I got a twitter question awhile back with respect to streaks where standard VIX settlement had[...]

  • Market News | VIX | Jan 20, 2017, 11:04 AM

    CBOE SKEW Index Tops 140 Two Days in a Row, as Demand for Disaster Protection Increases

    CBOE SKEW Index Tops 140 Two Days in a Row, as Demand for Disaster Protection Increases

    The CBOE SKEW Index (SKEW) values, which are calculated from weighted strips of out-of-the-money S&P 500 options, generally rise to higher levels as investors become more fearful of a negative equity “black swan” event — an unexpected event of large magnitude and consequence. Key facts about recent SKEW values -- TWO DAYS IN A ROW. SKEW closed at 143.43 on January 18, and 141.03 on January 19 (the sixth time in its 27-year history that the index closed above 140 two days in[...]

  • Market News | VIX | Jan 18, 2017, 6:17 PM

    Volatility ETF Twice Nominated for 2016 ETF.com Awards

    Volatility ETF Twice Nominated for 2016 ETF.com Awards

    We all have our morning rituals and one of mine involves checking the daily ETF.Com email I receive at CBOE.  The top story was the nominations for the annual ETF.Com awards ceremony which is scheduled for March 30th in New York.  I went through the list of nominees highlighting partners of CBOE and was delighted to see the REX VolMAXX Long VIX Weekly Futures Strategy ETF (Ticker: VMAX) recognized with a nomination in two categories.  VMAX has been nominated for both Most Innovative[...]

  • VIX | Election & VIX | Jan 16, 2017, 6:53 AM

    Contrasting SPX and VIX - MLK Weekend 2016 and 2017

    Contrasting SPX and VIX - MLK Weekend 2016 and 2017

    2016 was a year lots of people would like to forget for a variety of reasons.  Personally, I had a great year and didn’t know any celebrities who will be celebrated posthumously at the various spring award shows.  If we go back 52 weeks to MLK weekend in 2016 the markets were about as opposite as they could be relative to where we are today. As a quick reminder, many market participants were nervous going into 2016, we had just experienced our first interest rate hike in years and[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jan 15, 2017, 8:33 AM

    Weekend Review of Volatility Indexes and ETPs - 1/9 - 1/13

    Weekend Review of Volatility Indexes and ETPs - 1/9 -  1/13

    There are two lines below although it may appear that there is only a purple line for parts of the VXST – VIX – VXV – VXMT curve.  In a round about way I’m saying not a lot happened in the world of S&P 500 option volatility last week. What really stands out on the table below is the price action of VVIX which rose over 12 points to finish the week over 90.  There were large buyers of February VIX call options last week which contributed to the rise[...]

  • VIX | Trader Talk | Futures | Trade Ideas | Jan 14, 2017, 5:43 PM

    Weekend Review of VIX Futures and Options - 1/9 - 1/13

    Weekend Review of VIX Futures and Options - 1/9 - 1/13

    Last week VIX managed to finish the day below the 2016 closing low (11.27) twice.  If it were only Friday’s close I’d throw an asterisk in there for the three-day weekend effect, but there’s no holiday excuse for the Wednesday close of 11.26. This past week they (whoever ‘they’ are) couldn’t get enough of February VIX Calls.  On Friday, paper bought over 60,000 VIX Feb 21 Calls for 0.49.  On Thursday, there were three block trades of[...]

  • Weekend Review of Russell 2000 Options and Volatility - 1/9 - 1/13

    Weekend Review of Russell 2000 Options and Volatility - 1/9 - 1/13

    It was a quiet week for the markets with a lack of economic data, the earnings calendar being light (that changes next week) and our president elect speaking to the press but not making statements to impact the equity markets too much.  The result was a 0.35% gain for the Russell 2000 (RUT) and a drop of 0.04% for large cap stocks as represented by the Russell 1000 (RUI). The next chart is a regular feature in this space.  I decided since the premium of the CBOE Russell 2000[...]