• VIX | Trader Talk | Trade Ideas | Mar 3, 2018, 12:34 PM

    Weekend Review of VIX Futures and Options - March 3, 2018

    Weekend Review of VIX Futures and Options - March 3, 2018

    The S&P 500 was down just over 2% last week and VIX does what it does (rose) when the S&P 500 is under pressure.  VIX was up over 18% and to a lesser extend the futures markets followed higher.  Worth noting above is the settlement price for March futures on Friday at 19.025.  This contract does not expire until the 21st, so there’s plenty of time for VIX to come back down a bit.  Usually when VIX moves up like it did and there’s this much time left to expiration[...]

  • VIX | Trader Talk | Feb 14, 2018, 5:02 PM

    VIX Today - February 14, 2018

    VIX Today - February 14, 2018

    The S&P 500 finished the day higher for the fourth day in a row and VIX dipped below 20.00 for the first time since February 5th.  The chart below shows that as the S&P 500 moved up over the day as VIX worked lower.  What is referred to commonly as the ‘fear index’ is starting to indicate there is less fear in the market than we experienced last week.    Today marked expiration day for standard February VIX and Options with both settling at 21.87[...]

  • VIX | Trader Talk | Trade Ideas | Feb 12, 2018, 8:23 AM

    Weekend Review of VIX Options and Futures Feb 10 2018

    Weekend Review of VIX Options and Futures Feb 10 2018

    For the past few months writing this weekend review has been a difficult task.  How many different ways can I say VIX is low and reflecting low realized volatility in the S&P 500?  The past couple of weeks it has suddenly gotten much easier to talk about VIX.  Last week was the first one week drop of greater than 5% since early January 2016.  The weakness actually began two weeks ago and the S&P 500 has given up 8.8% in the past two weeks is the biggest two week drop[...]

  • VIX | Trader Talk | Trade Ideas | Feb 12, 2018, 8:08 AM

    Weekend Review of Volatility Indexes and ETPs Feb 10 2018

    Weekend Review of Volatility Indexes and ETPs Feb 10 2018

    We experienced the biggest one week drop in two years last week for the S&P 500.  The result was the type of moves we haven’t seen in S&P 500 related volatility indexes since August 2015.  We got a 67% gain for VIX last week, with VIX3M gaining 46% and VXMT was 32% higher.  The result was steep backwardation that is normally associated with near term concerns about the direction of the stock market.  There’s lots to talk about on the table below. [...]

  • VIX | Trader Talk | Trade Ideas | Feb 10, 2018, 1:26 PM

    Weekend Review of Russell 2000 Options and Volatility Feb 10 2018

    Weekend Review of Russell 2000 Options and Volatility Feb 10 2018

    Stocks were under pressure last week, which was actually the second week of the biggest two week drop in broad based indexes since August 2011.  Small cap stocks did hold up a bit better than large cap with the Russell 2000 (RUT) giving up 4.49% while the large cap focused Russell 1000 (RUI) lost 5.14%.  Both are in the red for 2018 with RUT down 3.76% and RUI down 2.17%.  The relationship between the Cboe Russell 2000 Volatility Index (RVX) and VIX hit previously uncharted territory[...]

  • VIX | Trader Talk | Trade Ideas | Feb 3, 2018, 11:33 AM

    Weekend Review of Russell 2000 Options and Volatility Feb 3 2018

    Weekend Review of Russell 2000 Options and Volatility Feb 3 2018

    The Russell 2000 (RUT) lost 3.78% last week while the Russell 1000 (RUI) was down 3.82%.  I have a hard time recalling a big weekly drop in the stock market where small caps and large caps lost about the same amount of ground.  For the year RUI maintains a nice lead based on outperformance in January. The RVX premium to VIX took a dive on Friday based mostly on gains in VIX.  The ratio finished the week at just over a 16% premium which is slightly lower than the 2017 low. [...]

  • VIX | Trader Talk | Trade Ideas | Feb 3, 2018, 10:14 AM

    Weekend Review of Volatility Indexes and ETPs Feb 3 2018

    Weekend Review of Volatility Indexes and ETPs Feb 3 2018

    Of the four volatility indexes on the term structure chart below two have been around the longest.  Of course VIX with the other being VIX3M (formerly known as VXV).  The relationship between the 1-month volatility index and 3-month version usually has VIX at a discount to VIX3M.  Friday this relationship flipped for the first time since April of last year.  It is considered a sign of fear being ‘overdone’ when VIX is higher than VIX3M.  We shall see next week[...]

  • VIX | Trader Talk | Trade Ideas | Feb 3, 2018, 7:33 AM

    Weekend Review of VIX Futures and Options Feb 3 2018

    Weekend Review of VIX Futures and Options Feb 3 2018

    Last week VIX gained over 50% for the first time since August last year.  We all know most of this came Friday with the S&P 500 losing just over 2% on the day.  The obituaries being written about VIX after a historically tame year last year may have been a bit premature.  Friday was a huge day for VIX option trading as volume records were smashed.  At the end of the day over 4.3 million contracts had changed hands in the VIX pit.  Of course a good portion of Friday’s[...]

  • VIX | Trader Talk | Trade Ideas | Jan 31, 2018, 8:51 AM

    Vol 411 Follow Up More on the VIX3M / VIX Ratio

    Vol 411 Follow Up More on the VIX3M / VIX Ratio

    Yesterday on Volatility 411 I spoke about the VIX3M / VIX ratio.  For old school volatility traders VIX3M is the relatively new ticker for VXV and this is a 3-month volatility index based on S&P 500 Index Option pricing.    VIX3M tends to close at a premium relative to VIX, but that spread narrows when there’s a bit more short-term panic in the markets.  Full blown market concern is attributed to a condition where VIX3M is at a discount to VIX.  Over the[...]

  • VIX | Trader Talk | Trade Ideas | Jan 29, 2018, 7:48 AM

    VIX Options and Futures Weekend Review for January 27 2018

    VIX Options and Futures Weekend Review for January 27 2018

    VIX was lower last week, but that’s the only thing that lost value on the table / term structure chart below.  All the futures moved higher despite VIX moving lower, but also shaking off a very bullish week for the S&P 500.  We live in unusual times and there is much being written about the VIX behavior which seems to be ignoring record S&P 500 moves.  Usually this disconnect rights itself with either stock prices dropping or VIX finally giving into the reality of a higher[...]

  • VIX | Trader Talk | Trade Ideas | Jan 29, 2018, 7:11 AM

    Volatility Indexes and ETPs Weekend Review for January 27 2018

    Volatility Indexes and ETPs Weekend Review for January 27 2018

    Three out of four volatility indexes that based their levels on SPX option trading were higher last week.  VIX was the lone loser with 9-day, 3-month, and 6-month volatility indexes all moving higher.  The long volatility linked ETPs, based on US volatility, were all higher last week.  Note things were different in Europe as EVIX was lower and EXIV gained.  Also, I continue to keep an eye on TYVIX which is showing signs of life as the talk of the end of the bull market in bonds[...]

  • VIX | Trader Talk | Trade Ideas | Jan 27, 2018, 7:40 AM

    Russell 2000 Options and Volatility Review for January 27 2018

    Russell 2000 Options and Volatility Review for January 27 2018

    Large cap stocks turned on the afterburners Friday with the Russell 1000 (RUI) rallying over 2% last week while the Russell 2000 (RUT) was up only 0.65%.  2017 was a year of consistent large cap outperformance and so far this year the theme has continued.  On the volatility front small cap volatility rose with the Russell 2000 underperformance as RVX gained over 8%.  VIX actually dropped a little last week, with the result being a rise in the RVX to VIX relationship. About[...]

  • VIX | Trader Talk | Trade Ideas | Jan 20, 2018, 4:21 PM

    VIX Options and Futures Weekend Review for January 20 2018

    VIX Options and Futures Weekend Review for January 20 2018

    Although still at a historically low level, VIX showed some signs of life this past week trading above 12.00 for the first time since December 1st last year.  Standard January futures and options went off the board Wednesday morning settling well above 12.00.  The futures moved up a bit, but not nearly to the extent of spot VIX.  This may be taken as the market expecting VIX to return to historically low levels.  Of course when this has been the case for so long, why wouldn’t[...]

  • VIX | Trader Talk | Trade Ideas | Jan 20, 2018, 1:25 PM

    Russell 2000 Options and Volatility Weekend Review for January 20 2018

    Russell 2000 Options and Volatility Weekend Review for January 20 2018

    Both large and small cap stocks had another good week last week with the Russell 1000 (RUI) gaining 0.85% while the Russell 2000 (RUT) was up by 0.36%.  For the year RUI is up almost 5% while RUT is up just a little over 4%. We are starting to see the Cboe Russell 2000 Volatility Index (RVX) premium relative to VIX move to lower levels.  This ratio was pretty high relative to history for most of 2017 which was understandable since small caps consistently underperformed last year. Late[...]

  • VIX | Trader Talk | Trade Ideas | Jan 20, 2018, 10:20 AM

    Volatility Indexes and ETPs Weekend Review for January 20 2018

    Volatility Indexes and ETPs Weekend Review for January 20 2018

    All four volatility indexes based on S&P 500 Index option pricing moved higher last week.  I know all the talk was about the government shutdown being responsible for the rise.  However, if that were totally the case I don’t think we would be seeing VIX3M and VXMT moving up as much as they did.  I believe there’s more going on here, but I also spend most Friday evenings watching Ancient Aliens.  In the ETP space the long funds benefitted from the bump in VIX[...]

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