VXX Archives - Cboe Blogs

  • VIX | Trader Talk | Futures | Trade Ideas | Oct 1, 2017, 9:03 AM

    Weekend Review of Volatility Indexes and ETPs - 9/25/2017 - 9/29/2017

    Weekend Review of Volatility Indexes and ETPs - 9/25/2017 - 9/29/2017

    The S&P 500 continues to power higher finishing the week (and 3rd quarter) at an all-time high.  The price action last week pushed all the SPX related volatility indexes lower, but not by much.  All were already low and testing levels that have been pretty much a floor before the week commenced.  The long VIX related ETPs reacted as would be expected with VIX hovering in single digits last week with VXX down about 5% and UVXY losing just under 10% on the week.  For the[...]

  • VIX | Trader Talk | Education | Sep 13, 2017, 4:08 AM

    Panel on Volatility ETPs at CBOE RMC

    Panel on Volatility ETPs at CBOE RMC

    Nick Cherney, Head of Exchange Traded Products at Janus Henderson and Pete Clarke, Global Head of Equity Derivatives Strategy at UBS split duties for a session titled Design and Trading of US and European Volatility Related ETPs at RMC today. Cherney kicked things off giving a history of VIX related ETPs and demonstrating the tremendous growth of these markets.  He also noted the VSTOXX futures market is growing, but that the size of that market is much smaller than the VIX futures market. [...]

  • Market News | Education | Sep 12, 2017, 6:49 AM

    The Current Volatility Environment Discussion at CBOE RMC

    The Current Volatility Environment Discussion at CBOE RMC

    Maneesh Deshpande from Barclays discussed The Current Volatility Environment today at CBOE RMC Europe.  In a wide-ranging talk, he covered the current low volatility regime, how VIX related ETPs may be impacting the derivatives markets and addressed the common question, “How low can VIX go?”.  He started out addressing the question, “Why is VIX low?”.  He noted that realized volatility has been very low, but this is common during market rallies.  He also[...]

  • VIX | Trader Talk | Trade Ideas | Jul 29, 2017, 11:32 AM

    Weekend Review of Volatility Indexes and ETPs 7/24/2017 to 7/28/2017

    Weekend Review of Volatility Indexes and ETPs 7/24/2017 to 7/28/2017

    On a week over week basis the S&P 500 was down fractionally.  One would not assume such a small move from SPX when looking at the VXST – VIX – VXV – VXMT curve below.  VXST and VIX made nice moves to the upside while the longer end of the curve moved up a bit less resulting in a slight flattening of the curve.  The long funds that focus on the first and second month futures were up slightly while the short funds were down slightly.  SKEW and VVIX both[...]

  • VIX | Trader Talk | Trade Ideas | Jul 22, 2017, 3:10 PM

    Weekend Review of Volatility Indexes and ETPs - 07/17/2017 - 7/21/2017

    Weekend Review of Volatility Indexes and ETPs - 07/17/2017 - 7/21/2017

    VIX finished the week just off all-time lows and the VXST - VIX - VXV - VXMT curve shifted lower.  This is a result of realized volatility for S&P 500 price action remaining low and there not appearing to be any speed bumps on the horizon for the financial markets.  VVIX dipped below 80.00 to finish the week and TYVIX is near all-time lows despite there being an FOMC meeting this Wednesday.  The long funds continue to suffer (discussed a little more shortly) and the short funds[...]

  • VIX | Trader Talk | Trade Ideas | Jul 16, 2017, 8:54 AM

    Weekend Review of Volatility Indexes and ETPs - 7/10/2017 - 7/14/2017

    Weekend Review of Volatility Indexes and ETPs - 7/10/2017 - 7/14/2017

    We only have data going back to the 2007 – 2008 period for the non-VIX SPX related indexes on the diagram below.  VXST, VXV, and VXMT all made all-time lows, based on the history we have to work with, on the close Friday.  VIX closing at 9.51 was the third lowest on record.  However, the two instances of lower closing prices for VIX occurred on December 22nd and 23rd of 1993 (9.38 and 9.41).  In December 1993, the 24th was a market holiday as Christmas fell on the 25th. [...]

  • VIX | Trader Talk | Trade Ideas | Jul 8, 2017, 10:46 AM

    Weekend Review of Volatility Indexes and ETPs - 7/3/2017 - 7/7/2017

    Weekend Review of Volatility Indexes and ETPs - 7/3/2017 - 7/7/2017

    The short end of the SPX volatility spectrum dropped last week which following a holiday-ish weekend is a little surprising to me.  Maybe getting employment out of the way pushed VXST lower relative to the other indexes.  Also note VXV and VXMT outperformed VIX to the upside.  Take my word on this, VXV often leads VIX and is worth keeping an eye on.  The long funds had a good wee with the unleveraged funds gaining over 2% and the leverage long funds rising by almost 5%. [...]

  • VIX | Trader Talk | Trade Ideas | Jun 25, 2017, 9:00 AM

    Weekend Review of Volatility Indexes and ETPs - 6/19/2017 - 6/23/2017

    Weekend Review of Volatility Indexes and ETPs - 6/19/2017 - 6/23/2017

    VXST was slightly higher while the rest of the SPX related volatility indexes dropped last week.  All moves were relatively small as we have truly entered the summer doldrums, at least for broad based index volatility. There’s very little exciting on the table below.  TYVIX bumped up slightly, but is still at very low levels.  VVIX remaining over 80.00 is interesting as traders may continue to take advantage low VIX to get long volatility exposure through buying calls or spreads[...]

  • Trader Talk | What's Trading | Jun 19, 2017, 3:44 PM

    What's Trading Today? FB Bull Put Spread...

    What's Trading Today?  FB Bull Put Spread...

    Facebook Bull Put Spread With FB trading at 151.95 someone sold 200 FB Jun 30th 152.50 Puts for 2.44 and bought the FB Jun 30th 146.00 Puts for 0.60 and a net credit of 1.84.  A quick summary appears in the video below. At expiration the net result with FB above 152.50 would be a profit of 1.84, equal to the credit taken in on the trade.  The worst case scenario is a loss of 4.66 and this trade has a break-even of 150.66.    Other trades of note: With Bank of America (BAC)[...]

  • VIX | Trader Talk | Trade Ideas | Jun 17, 2017, 2:01 PM

    Weekend Review of Volatility Indexes and ETPs - 6/12/2017 - 6/16/2017

    Weekend Review of Volatility Indexes and ETPs - 6/12/2017 - 6/16/2017

    As the week came to a close VXST which measures 9-day volatility expectations took a dive.  Hence the big drop on the left side of the VXST – VIX – VXV – VXMT diagram below.  TYVIX finished the week below 4.00 which was a first for 2017, but not outside of the long term historical range.  I checked the market expectations for the next FOMC meeting in late July and right now we have a 100% chance of nothing happening.  That much certainty probably justifies[...]

  • VIX | Trader Talk | Trade Ideas | Jun 10, 2017, 6:39 PM

    Weekend Review of Volatility Indexes and ETPs - 6/5/2017 - 6/9/2017

    Weekend Review of Volatility Indexes and ETPs - 6/5/2017 - 6/9/2017

    That little bump in VXST that shows up on the far left side of the diagram below can be attributed to Friday afternoon activity.  VXST rose 0.75 Friday while VIX was up 0.54.  Shorter dated SPX option pricing is used to calculate VXST than VIX.  It may be the weakness Friday afternoon in large cap tech stocks may have traders worrying about the direction of the stock market over the short term.  Several things pop out at me on the table below.  VMAX had a nice week rising[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 3, 2017, 8:31 PM

    Weekend Review of Volatility Indexes and ETPs - 5/30/2017 - 6/2/2017

    Weekend Review of Volatility Indexes and ETPs - 5/30/2017 - 6/2/2017

    The VXST – VIX – VXV – VXMT week over week curve change only has one noticeable move.  VXST was up nicely last week, but we are going to attribute the whole move to the 3 day weekend effect and say the curve was basically unchanged.  The long volatility funds drifted down and short volatility ruled the week with SVXY rising 2% and relative newcomer VMIN gaining 2.2% last week.  Worth noting below is VVIX which remains above 80.00 despite VIX closing for the second[...]

  • VIX | Trader Talk | Trade Ideas | May 28, 2017, 9:36 AM

    Weekend Review of Volatility Indexes and ETPs - 5/22/2017 - 5/26/2017

    Weekend Review of Volatility Indexes and ETPs - 5/22/2017 - 5/26/2017

    VXST closed Friday at an all-time low of 7.60 which sounds impressive until you hear that for VXST the history we have to work with only goes back to 2011.  I am going to make a bold prediction and say that VXST will move higher when the market reopens on Tuesday.  Read that as sarcasm as VXST has never followed a three-day weekend without moving higher.  After having a short period of upward movement, the VIX related funds gave back performance and then some last week.  The[...]

  • VIX | Trader Talk | Trade Ideas | May 21, 2017, 5:55 AM

    Weekend Review of Volatility Indexes and ETPs - 5/15/2017 - 5/19/2017

    Weekend Review of Volatility Indexes and ETPs - 5/15/2017 - 5/19/2017

    The week over week VXST – VIX – VXV – VXMT curve moved higher and appears to have done so in a very parallel fashion.  Since the week over week change doesn’t do the actual activity justice so I added the Wednesday closing curve to the graphic below.  I was honestly a little surprised at how little the S&P 500 dropped on a week over week basis and double checked the number.  I made a joking prediction Thursday morning that we would retrace the Trump Dump[...]

  • VIX | Trader Talk | Trade Ideas | May 13, 2017, 9:24 AM

    Weekend Review of Volatility Indexes and ETPs - 5/8/2017 - 5/12/2017

    Weekend Review of Volatility Indexes and ETPs - 5/8/2017 - 5/12/2017

    This time last week we were all pretty certain that the final round of the French election was a done deal.  Short term SPX implied volatility wasn’t taking any chances with VXST closing last Friday at 11.40.  With the election outcome going as expected VXST got a little crushed and the shape of the VXST – VIX – VXV – VXMT curve moved back to contango.  Both the S&P 500 and VIX dropped last week, as the number of potential stock market land mines over[...]