• 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[...]

  • VIX | Trader Talk | Jan 16, 2018, 3:16 PM

    Vol 411 Follow Up Historical Look at SPX and VIX Moving Together

    Vol 411 Follow Up Historical Look at SPX and VIX Moving Together

    When I hosted Vol 411 this morning both the S&P 500 and VIX were higher on the day.  The SPX took a turn and finished the day lower so we didn't have a three day streak where both rose.  The results of running some numbers is below the video. As a follow up to today’s Vol 411 show I updated my numbers on the following two tables.  First, I took a look at the number of times since January 1990 through last Friday that both the S&P 500 and VIX have moved in[...]

  • VIX | Trader Talk | Trade Ideas | Jan 14, 2018, 9:15 AM

    Volatility Indexes and ETPs Weekend Review for January 13 2018

    Volatility Indexes and ETPs Weekend Review for January 13 2018

    We got an interesting move in the VXST – VIX – VIX3M – VXMT curve last week.  The short end moved higher despite a nice bullish move out of stocks.  The volatility market has been a bit jumpy like we are bracing for an unforeseen spike.  We’ll see if the nervousness is justified.  I’ve been keeping a close eye on TYVIX since the bond market has been discussed pretty frequently in the financial press lately.  Until it starts to move I’m[...]

  • VIX | Trader Talk | Trade Ideas | Jan 13, 2018, 10:50 AM

    VIX Weekend Review for January 13 2018

    VIX Weekend Review for January 13 2018

    VIX gained and the futures curve dropped a bit last week. This is not totally out of the norm, but before a holiday weekend is something I cannot recall occurring in my years of watching VIX price action. Wednesday last week was the second busiest day on record in the VIX option arena.  A good portion of this can be attributed to one very large position being rolled from January to February VIX contracts.  It turns out this has been an ongoing saga starting back in the summer. [...]

  • VIX | Trader Talk | Trade Ideas | Jan 7, 2018, 9:35 AM

    Weekend Review of VIX Futures and Options - Jan 6 2018

    Weekend Review of VIX Futures and Options - Jan 6 2018

    The S&P 500 gained 2.6% to begin 2018.  VIX and the VIX futures curve reacted as one would expect with a dramatic drop in spot VIX and the futures following suit to a lesser extent.  Four seconds into the new year and the first sizable VIX trade was executed in the VIX pit.  With spot VIX at 10.90 and the January standard (1/17) future at 11.35 there was a buyer of 500 VIX Jan 17th 19.00 Puts for 7.86 who then sold 500 VIX Jan 17th 9.50 Puts for 0.07. The net cost is 7.79 and[...]

  • VIX | Trader Talk | Trade Ideas | Jan 6, 2018, 1:51 PM

    Weekend Review of Russell 2000 Options and Volatility - 1/6/2018

    Weekend Review of Russell 2000 Options and Volatility - 1/6/2018

    US stocks began the year showing strength and the patter of large cap outperformance that was 2017 continued this past week.  The Russell 2000 (RUT) was up 1.6% while the large cap focused Russell 1000 (RUI) put up a 2.51% performance last week. In the volatility space, the 2017 pattern held up with the Cboe Russell 2000 Volatility Index (RVX) closing each day at a premium to VIX in the mid 40% range.  The average premium in 2017 was around 43% so like the large cap outperformance last[...]

  • VIX | Trader Talk | Cboe Benchmark Indexes | Jan 5, 2018, 1:49 PM

    Nine Charts Highlight Nine New Records for Cboe Index Products in 2017

    Nine Charts Highlight Nine New Records for Cboe Index Products in 2017

    A number of new volume and price records were set for Cboe index products in 2017, as customer demand for index options and volatility product solutions continued to grow. These records were remarkable in light of the fact that many experts said that that the markets appeared to be very complacent, as the Cboe Volatility Index® (VIX®) hit a record low in 2017. RECORD #1 – RECORD HIGH NOTIONAL VOLUME FOR SPX OPTIONS – MARKET CAPACITY When I am discussing the Cboe’s BXM and[...]