VIX Archives - Cboe Blogs

  • Mar 9, 2017, 2:02 PM

    CBOE RMC Presentation: Post Central Bank Volatility More Risk But More Alpha

    CBOE RMC Presentation:  Post Central Bank Volatility More Risk But More Alpha

    Benjamin Bowler, Global Head of Equity Derivatives Research at Bank of America Merrill Lynch delivered a talk titled “Post-Central Bank Volatility:  More Risk But More Alpha”.  The discussion noted how central bank actions have us in a different bubble type environment and noted that stocks continue to move up with very little volatility.  He also demonstrated that many markets have experienced high short term instability relative to recent price action and hedge fund performance[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Mar 6, 2017, 3:37 PM

    Tales from the Cross VIX Highway

    Tales from the Cross VIX Highway

    While traders of nothing but the Essenpee would find themselves sitting on a gain of 1.5% to nearly 2% from February 14th through today (or through Friday, March 3rd's closing price, thus the difference between quotes), traders like me who favor TVIX or UVXY would be sitting right where they started, whether short or long. See chart below for a short history of UVXY over the last nearly-three-weeks. My account performance shows a gain of several percent. How did I do that, when trading nothing[...]

  • Mar 6, 2017, 12:26 PM

    Market Volatility and FOMC Rate Hikes

    Market Volatility and FOMC Rate Hikes

    It appears we are approaching another well telegraphed rate hike at the conclusion of the FOMC meeting scheduled next Tuesday and Wednesday.  I got a question via email that got me digging into market volatility around the last two hikes.  Both were widely expected, but did occur in December (2015 and 2016).   The two charts below shows price action for VIX and TYVIX leading up to and following the last two FOMC meetings where a rate hike resulted.  VIX was two different[...]

  • Mar 5, 2017, 10:24 AM

    Weekend Review of VIX Futures and Options - 2/27/2017 - 3/3/2017

    Weekend Review of VIX Futures and Options - 2/27/2017 - 3/3/2017

    The week over week change for VIX and the futures doesn’t tell the whole story last week. Despite falling on a week over week basis, VIX did show some life closing on Tuesday at 12.92 before retreating to close under 11.00 for the week.  I’m going to add something to this space for the next few weeks as there is a divergence in the volatility world.  Specifically, VSTOXX futures pricing from April and beyond is at a significant premium to corresponding VIX pricing.  The[...]

  • Mar 5, 2017, 9:36 AM

    Weekend Review of Russell 2000 Options and Volatility - 2/27/2017 -3/3/2017

    Weekend Review of Russell 2000 Options and Volatility - 2/27/2017 -3/3/2017

    Small cap stocks in the form of the Russell 2000 (RUT) lost 3 basis points last week which I am going to call a flat week.  Large caps represented by the Russell 1000 (RUI) was up .77% widening the lead for 2017 to 3.71%.  With the under performance of RUT last week came an increase in the CBOE Russell 2000 Volatility Index (RVX) premium to VIX which topped 50% to end the week. Although small caps have been lagging, at least one trader has expectations for RUT to push higher. [...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Mar 5, 2017, 8:08 AM

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Weekend Review of Volatility Indexes and ETPs - 2/27/2017 - 3/3/2017

    Textbook and parallel are two terms that come to mind to described the shift in the VXST – VIX – VXV – VXMT curve below.  Also, steep comes to mind as the longer dated indexes are pretty elevated when compared to VIX and VXST. The long funds below benefited from volatility increasing a bit on Tuesday last week, with VIX even putting in a 2017 high, before resuming their downward trajectory.  Note TYVIX giving up 10% which puts the volatility of 10-Year Treasury Note options[...]

  • Mar 1, 2017, 1:00 PM

    Eight Charts Highlighting Growth in Options and VIX Futures

    Eight Charts Highlighting Growth in Options and VIX Futures

    Below are eight charts, all of which highlight growth related to options markets or VIX® futures. CHART #1 – GROWTH IN OPTIONS VOLUME ON 4 EXCHANGES Aggregate total options volume on four exchanges – Bats, CBOE, C-2, and EDGX – grew 27% from 2012 through 2016 – from 1.24 billion contracts to 1.57 billion contracts.   CHART #2 – GROWTH IN NOTIONAL VALUE OF VOLUME FOR SPX OPTIONS When instititional investors are considering portfolio management tools, often[...]

  • Mar 1, 2017, 11:55 AM

    Strong ETH VIX Option Volume in February

    Strong ETH VIX Option Volume in February

    Despite exceptionally low realized and implied volatility in February, CBOE experienced a massive increase in our VIX options average daily volume during our Extended Trading Hours session.  VIX options ETH ADV was 7,336 contracts per day in February 2017.  This compares to ADV of 1,761 contracts per day in 2016, a 416% increase. February VIX option ETH volume was bolstered by extremely strong sessions to close the month on February 24, February 27, and February 28, demonstrating that[...]

  • Feb 26, 2017, 3:00 PM

    The Weekly Options Roundup 2/26/17

    The Weekly Options Roundup 2/26/17

    The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.      VIX Fix:  Three Down… Which Way to Go?     As President Trump continued to deliver on campaign promises this week, investor confidence in the markets remained high and the “Trump Rally” continued on.   The Dow Jones Index saw eleven consecutive[...]

  • Trader Talk | Trade Ideas | Feb 25, 2017, 2:54 PM

    Weekend Review of Russell 2000 Options and Volatility - 2/21 - 2/24

    Weekend Review of Russell 2000 Options and Volatility - 2/21 - 2/24

    Large cap dominance continues as the Russell 1000 (RUI) gained 0.77% last week and the Russell 2000 (RUT) was down 0.38%.  For the year RUI is now outpacing by over 3%. Small cap risk remains high relative to large cap risk as the CBOE Russell 2000 (RVX) premium to VIX remains are elevated levels.  First thing Friday, with RUT under a bit of pressure down about 10 points around 1383 one trader came in with a bull put spread that has a ton of room for error.  They sold the RUT Apr[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Feb 25, 2017, 2:14 PM

    Weekend Review of Volatility Indexes and ETPs - 2/21 - 2/24

    Weekend Review of Volatility Indexes and ETPs - 2/21 - 2/24

    VIX was the only S&P 500 related volatility index that lost value last week.  VXST rose, probably getting a boost from coming off a long weekend.  The longer dated volatility indexes mirrored the action in longer dated VIX futures by moving to the upside.  April seems to be the next month of concern among volatility players with the pending election in France.  Other pockets of volatility are showing up in the table below.  SKEW finished the week near recent highs and[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Feb 25, 2017, 10:46 AM

    Weekend Review of VIX Futures and Options - 2/21 - 2/24

    Weekend Review of VIX Futures and Options - 2/21 - 2/24

    To say that volatility was flat last week is misstating the facts.  Sure, VIX was lower, but wow, look at the rest of the curve.   All contracts were higher with April and May futures leading the way at up over 6%.  For this we will blame France, which I will explain after the VIX Table / Term Structure below. VSTOXX is basically VIX for the European markets.  Specifically, it is an index that calculates a consistent measure of implied volatility as indicated by options[...]

  • VIX | Trader Talk | Trade Ideas | Feb 20, 2017, 7:30 PM

    Weekend Review of Volatility Indexes and ETPs - 2/13 - 2/17

    Weekend Review of Volatility Indexes and ETPs - 2/13 - 2/17

    VXST and VIX managed gains last week while the longer dated volatility indexes (VXV and VXMT) both lost value.  The curve created by charting out VXST, VIX, VXV, and VXMT has been steep for most of 2017 as the shorter dated indexes have been at very low levels.  The price action last week narrowed the angle to more normal levels.  Last week the S&P 500 was up just over 1.5% and VIX rose over 5%.  More on that after the table below.  I ran some numbers and this is[...]

  • Market News | VIX | Strategy | Trade Ideas | Feb 19, 2017, 9:29 AM

    Weekend Review of VIX Futures and Options - 2/13 - 2/17

    Weekend Review of VIX Futures and Options - 2/13 - 2/17

    We’ve experienced several twists in the volatility markets this year where the futures don’t move in sync or in line with spot VIX.  This occurred again last week as VIX rose almost 6% while the futures markets moved lower.  Part of this may be attributed to February going off the board, at least with respect to March, but the farther date futures had been a bit elevated this year, but with the lack of any sort of volatility event appear to have started to weigh on the farther[...]

  • Weekend Review of Russell 2000 Options and Volatility - 2/13 - 2/17

    Weekend Review of Russell 2000 Options and Volatility - 2/13 - 2/17

    The Russell 1000 (RUI) gained about 1.5% last week and is now up over 5% for the year while the Russell 2000 (RUT) was up 0.8% and is trailing RUI up a tad more than 3% for 2017. The relative implied volatility of Russell 2000 options dropped to a historically more normal level last week after spending most of this year at the top end of the historical range. On Wednesday RUT managed to close over 1400 which bought out at least one trader with a short term bearish outlook.  With about 30[...]