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

NOV 9 – 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 was 235,141 contracts on June 24 (Brexit) and an estimated 263,663 contracts (a new all-time record) during the November 9 trading session (which technically began at 3:30 p.m. C.T. the day before. www.cboe.com/ETH).

On Wednesday morning, the price of the VIX Nov. futures fell below 16, as a story at cbsnews.com noted that “Conciliatory comments from U.S. President-elect Donald Trump in the aftermath of his stunning victory over Hillary Clinton helped global stock markets erase a large chunk of their earlier losses Wednesday.”

a-vix-fut-mid-day-nov-9

MEXICAN PESO

A Bloomberg news report noted that “The peso tumbled to a record as Donald Trump’s victory in U.S. presidential elections raised the prospect that two decades of Mexican economic integration with its northern neighbor will unravel.” Visit www.cboe.com/currency for CBOE information on managing currency risk.

 

b-peso-mid-day-nov-9

TYVIX AND INTEREST RATE VOLATILITY

The CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX) rose from a low of 5.11 on Tuesday to a high of 5.64 mid-day Wednesday. Visit www.cboe.com/TYVIX for information on TYVIX futures.

c-tyvix-nov-9

CBOE VIX OF VIX INDEX (VVIX)

The VVIX Index is an important indicator for investors who are trying to gauge the implied volatility related to VIX options. The VVIX Index fell from a high of 114.56 on Tuesday to a low of 99.51 mid-day Wednesday.

d-vvix-nov-9

MORE INFORMATION

To learn more about managing your portfolio with index options, please visit the Strategies and Education tabs at the CBOE website. Information and price charts on 30 volatility indexes is at www.cboe.com/volatility.

Qualified institutional investors also are welcome to register at www.cboermc.com for an upcoming Risk Management Conference hosted by CBOE —

  • RMC Asia 2016: Nov 30 – Dec 1, 2016 at the Conrad Hong Kong Admiralty, Hong Kong
  • RMC US 2017: Wednesday – Friday, March 8 – 10, 2017 at the St. Regis Monarch Beach, Dana Point, California.

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

NOV. 7 – 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, today (the date before […]

Volatility History Lesson – The 2012 Election

I’ve been getting lots of questions with respect to how volatility acts around US elections.  We don’t have a lot of history to work with, but we do have data on how the four volatility indexes based on SPX option trading did four years ago.  I did a little digging and reconstructed the VXST – […]

The Election and Sector Volatility

So, last week I looked at the implied volatility of various option markets that expired just before and just after next week’s election.  You can read all about that here.  Of course, as we all know, things changed a bit last Friday.  When things change, I start running numbers.  First I updated the table from […]

Weekend Review – VIX Futures and Options – 10/30/2016

VIX had a pretty stellar week, aided by the new on Friday, to finish over 20% higher. Spot VIX may be buying into a new scandal, but the futures did not.  The curve is as flat as it has been in months which tells me traders expect this move in VIX to be short lived. […]

Weekend Review – Volatility Indexes and ETPs – 10/30/2016

As a good number, but not all (some of us are White Sox fans) of the traders on the floor at CBOE were starting to think about where they were going to be that evening to watch Game 3 of the World Series, some news broke that shook the equity markets.  I don’t need to […]

VVIX Index Spikes 21% on News of Investigation – By Matt Moran

OCT. 28 – On Friday afternoon a news story at wsj.com noted that – “Worries about a surprise election outcome resurfaced anew in financial markets on Friday afternoon after the Federal Bureau of Investigation uncovered new evidence in its investigation of Democratic presidential candidate Hillary Clinton‘s email server. … The news sent ripples through stocks, […]

Sunday Night Trading of VIX and Stock Index Futures and Currencies During the Presidential Debate – By Matt Moran

October 9, 2016, 11:50 pm CT — Regarding the financial market movements Sunday night around and during the second presidential debate, below are some highlights. VIX FUTURES Trading volume for futures on the CBOE Volatility Index® (VIX®) on Sunday night from 5:00 p.m. through 11:15 p.m. exceeded 2,250 contracts. The chart below shows that the […]

Will VIX Futures Prices Move During the Sunday Night Debate? – By Matt Moran

OCTOBER 7. 2016 – On the night of September 26 a debate-record 84 million people tuned in to watch the first of three U.S. Presidential debates. During the debate there were movements in the prices of futures on the CBOE Volatility Index® (VIX®), S&P 500® futures, and the Mexican peso (see below for a chart […]

Weekend Review – Volatility Indexes and ETPs – 10/2/2016

The VXST – VIX – VXV – VXMT Curve is a consistent way to look at different S&P 500 Option Implied Volatility time frames.  All four indexes moved up a bit last week, with the curve shape maintaining a pretty steep shape. The ETPs were a mixed bag last week.  VXX and the other long […]

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