VIX Archives - CBOE Blogs

  • Market News | Technical Analysis & Charts | VIX | Nov 28, 2016, 11:13 AM

    BigTrends.com Weekly Market Outlook - Will The Rally Sputter Here?

    BigTrends.com Weekly Market Outlook - Will The Rally Sputter Here?

    The volume may not have been great behind the shortened trading week's gains, but a gain in a gain nonetheless. And, this one was particularly noteworthy in that all the major indices made their way into record high territory.... at a time when they weren't supposed to. Can it last? That's the $64,000 question. From a momentum and technical perspective, the picture is bullish - yes, there's reason to expect more upside from here. But there is reason to believe the rally may sputter soon and possibly[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 26, 2016, 6:01 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/21 - 11/25

    Weekend Review - Russell 2000 Options and Volatility - 11/21 - 11/25

    Small cap stocks seem to love the outcome of the election.  Since the market close on election-day the Russell 2000 (RUT) is up over 12% while the Russell 1000 (RUI) has gained just over 3%.  The 10% lead that RUT has on RUI has just about all come from the post-election rally for small caps.   The CBOE Russell 2000 Volatility Index (RVX) over VIX premium finished just under 47% this past week.  This is the second highest level for 2016.  A combination of higher[...]

  • Technical Analysis & Charts | VIX | Futures | Nov 21, 2016, 9:44 AM

    BigTrends.com Weekly Market Outlook - Can The Rally Continue?

    BigTrends.com Weekly Market Outlook - Can The Rally Continue?

    Even though the market didn't end the week on a wildly bullish foot, it ended the week with another respectable gain. The S&P 500 (SPX) (SPY) was up 0.8% for the five day span following the previous week's 3.8% gain.... and all of that 3.8% gain came in just the last three days of that election week. Either way, the persistent bullishness has left the S&P 500 within striking distance of record highs. It's still got a bit of a valuation problem, but between the momentum and this bullish[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 20, 2016, 8:08 AM

    Weekend Review - Russell 2000 Options and Volatility - 11/14 - 11/18

    Weekend Review - Russell 2000 Options and Volatility - 11/14 - 11/18

    The Russell 2000 (RUT) widened its lead on the Russell 1000 (RUI) after trouncing the large cap index the previous week.  For the year, RUT is up about 15.8% while RUI is up one basis point under 7%.  If you had been fortunate enough to pick the bottom in RUT you would be up just shy of 38% since February of this year. Volatility spreads, as measured by the CBOE Russell 2000 Volatility Index (RVX) divided by VIX have widened out as they tend to do so in periods of low volatility. [...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 19, 2016, 12:48 PM

    Weekend Review - Volatility Indexes and ETPs - 11/14 - 11/18

    Weekend Review - Volatility Indexes and ETPs - 11/14 - 11/18

    The short end of the VXST – VIX – VXV – VXMT curve took it on the chin as the holiday effect took a toll on VXST.  We may see a bit of a rise in VXST relative to the rest of the SPX oriented indexes as we get the Thanksgiving holiday behind us. VIX is what everyone watches when assessing market risk.  VVIX is what the volatility traders look to when trying to gauge how other volatility traders are feeling about the markets.  VVIX has dropped a bit, but[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 19, 2016, 11:57 AM

    Weekend Review - VIX Options and Futures - 11/14 - 11/18

    Weekend Review - VIX Options and Futures - 11/14 - 11/18

    VIX returned to being a ‘tween’ this week finishing with a twelve handle.  The rest of the curve shifted lower as all fear with respect to a Trump administration seems to have dissipated.  At least for the moment.  There are some risk events between now and the end of 2016 which I’ll address after the table below. CBOE’s partner LiveVol has a great option analyzing tool and one of the features is that you can easily see At-the-Money implied volatility for different[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 15, 2016, 3:46 PM

    If a Trump Presidency Is Scary Why Is VIX So Low?

    If a Trump Presidency Is Scary Why Is VIX So Low?

    The world continues to adjust to the idea of a Trump presidency and there seems to be a lot of fear abounding.  For instance, I recently heard an economist state that he didn’t think even Donald Trump knows what action he’ll take as President.  We will all know the answers to what he’s going to do soon enough.  A question I recently got was, “If Trump is so scary why is VIX low?”  That’s a question I can answer. There are two types of government[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Nov 14, 2016, 7:05 PM

    A Quick Look at Market Risk Through the End of 2016

    A Quick Look at Market Risk Through the End of 2016

    As the recent election drew near I would periodically post a chart showing the implied volatility for ATM SPX options over the many expirations we have available for trading.  Just for the heck of it I checked in on SPX implied volatility for every expiration available until the end of 2016.  The shape was interesting with a couple of bumps that occur around known events which may impact the equity market.  I decided to get out a calendar and see what other potentially market moving[...]

  • Technical Analysis & Charts | VIX | Strategy | Nov 14, 2016, 12:45 PM

    BigTrends.com Post-Election Weekly Market Outlook

    BigTrends.com Post-Election Weekly Market Outlook

    To call last week as wild week would still be an understatement of epic proportions. The S&P 500 (SPX) (SPY) gained 3.8% last week, which was big, but it was a victory made even more amazing by the fact that a Trump victory was supposed to be bad for the market (and for a few hours before Wednesday's open, it was very bad for stocks). A few hours after Donald Trump was confirmed as the next President though, the S&P 500 was not only up, but had cleared a key technical hurdle. The bulls don't[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 13, 2016, 12:12 PM

    Weekend Review - Volatility Indexes and ETPs - 11/7 - 11/11

    Weekend Review - Volatility Indexes and ETPs - 11/7 - 11/11

    Regardless of the outcome, we all expected VXST to get routed last week and that’s exactly what happened.  I’ve worn this out, but the election was like an earnings announcement with respect to the broad-based equity markets.  We see volatility crushes occur on short dated options when a company reports and we saw that for SPX options this past week. The highlight of the table below is TYVIX.  Uncertainty came out of stocks, but made its way into the fixed[...]

  • VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 13, 2016, 7:56 AM

    Weekend Review - VIX Options and Futures - 11/7 - 11/11

    Weekend Review - VIX Options and Futures - 11/7 - 11/11

    If a tree falls in the woods and no one is there to hear it did it make a sound?  More appropriately for this space, if market fear increases during non-US market hours was there any increase in fear?  Before this election this could be a philosophical debate among those of use that follow market volatility.  Now we know that the answer is yes.  I’ve already touched on the overnight market action in November VIX futures and the S&P 500 futures contracts so I won’t[...]

  • VIX | Election & VIX | 2016 Recap | Nov 9, 2016, 3:17 PM

    VIX Nov. Futures Shot Up by 55% on Election Night, but Later Retreated After Conciliatory Speech

    VIX Nov. Futures Shot Up by 55% on Election Night, but Later Retreated After Conciliatory Speech

    Four charts with big price moves over the past two days are presented in this blog. On the Tuesday election night in the United States, the reported prices for the November futures on the CBOE Volatility Index® (VIX®) rose from a low of 15.10 at 8:07 p.m. E.T., to a high of 23.46 at 10:27 p.m. E.T., an amazing rise of 55% over a 140-minute period (source: Bloomberg). Reported volume for VIX futures during non-U.S. trading hours topped 230,000 contracts both on June 24 (Brexit) and again[...]

  • About Last Night

    About Last Night

    So I spent the evening and early part of this morning watching different networks while watching the financial markets at the same time.  The chart below is a 5-minute chart showing the S&P 500 and VIX futures trading during the non-US hours trading session.  Then after 3 hours of sleep I taught my class at Loyola, spending half of that talking my students down from their disappointment at the election results.   There were a couple of things that stand out on the chart from[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Election & VIX | 2016 Recap | Nov 7, 2016, 4:40 PM

    On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

    On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

    Last week I heard about quite a bit of new interest in portfolio protection strategies, and on November 4 the CBOE Volatility Index® (VIX®) rose on a ninth consecutive day (a new all-time record for the VIX Index over its price history dating back to January 1990). However, on November 7, the date before the U.S. national elections, the S&P 500® Index rose 2.2%, and the percentage changes for some key volatility indexes were as follows: ·         -16.9% [...]

  • BigTrends.com Weekly Market Outlook - Election Week

    BigTrends.com Weekly Market Outlook - Election Week

    Last week wasn't just rough. It was the worst week the market has logged since September, and it was close to being the worst week since January. Whatever the case, it was bad, with the S&P 500 (SPX) (SPY) losing 1.94% of its value over the course of five straight losing days. In fact, the index has now logged nine straight losing days. That's the longest losing streak since 1980. There's a potential upside to such a move. That is, after such a dry spell, the buyers may be chomping at the[...]