Weekend Review of VIX Futures and Options – 5/21/2017

The term structure and payoff below does not do any justice to what those of us that focus on VIX and related markets this past week.  In fact, when the dust settled, all the standard futures were hardly changed on the week.

VIX Quotes Table 519

Just to record what did happen last week I made a second term structure chart that includes the close on Wednesday in addition to the Friday closing curves.

VIX TS Fri Wed Fri

As Wednesday was one of the biggest moves for VIX to the upside in several months, there were a few brave traders that chose to take the other side of the move.  Just minutes before the very busy day came to an end there was a trader that sold about 5,000 VIX Jun 12.50 Calls for 2.37 who purchased the VIX Jun 19.00 Calls at 0.93 for a net credit of 1.44.  The payout below shows how this trade works out if held to expiration along with where VIX and the June VIX futures finished the day on Wednesday.

VIX PO 519

The June futures were at 14.25 and VIX at 15.59 to finish up Wednesday.  However, as we know, when the week came to an end both were much lower.  So far so good on this one.

Weekend Review – Volatility Indexes and ETPs – 5/21/2017

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 […]

VIX and VVIX Indexes Both Jump More Than 45% on Wednesday, with Strong Trading Volumes

MAY 17, 2017 – Today both the CBOE Volatility Index (VIX) and the CBOE VIX of VIX Index (VVIX) rose more than 45%. Some U.S. news developments that impacted the financial markets today concerned the former FBI director James Comey and former National Security Adviser Michael Flynn. TABLES WITH BIGGEST ONE-DAY MOVES Today’s 46.4% move […]

Weekend Review – VIX Options and Futures – 5/14/2017

VIX was slightly lower on the week despite the S&P 500 dropping as well.  The near dated futures worked lower with May finishing Friday at premium of just over 0.80 as that contract goes off the board this coming week.  From August and beyond the futures were actually higher which creates a pretty steep curve […]

Weekend Review of Volatility Indexes and ETPs – 5/14/2017

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 […]

2017 Volume Rises for VIX and SPX Options, and for VIX Futures

Monday, May 8, 2017 – After the results of the French election were announced yesterday, this was a notable day in the options and volatility markets – The CBOE Volatility Index® (VIX®) fell 0.80 points and closed at 9.77 (it lowest daily close since December 1993); Bloomberg’s estimate of 30-trading day historic volatility for the […]

Weekend Review of VIX Options and Futures – 5/7/2017

VIX managed to (briefly) put in a post Great Financial Crisis low hitting 9.90 on Monday and sneaking in a 9.99 low on Friday as well.  Full disclosure, I didn’t even see the 9.99 print on Friday, but then again, we are getting conditioned against getting too excited when VIX dips below 10.  Worth noting […]

Weekend Review of Volatility Indexes and ETPs – 5/7/2017

The chart below may be one of the final references to the French Election which came to an end this weekend.  Note VXST, which reflects the IV of very short term SPX options was elevated going into the weekend.  I don’t think it is too much of a stretch to say that a quick drop […]

Weekend Review of VIX Options and Futures – 4/30/2017

Everyone knows what an ear worm is and if not you will now.  It is basically when a song is stuck in your head.  Since Monday REM’s Orange Crush has been on constant replay in my head.  VIX losing 26% and the front month down 14% definitely qualify as a volatility crush. Since all this […]

Weekend Review – Volatility Indexes and ETPs – 4/30/2017

S&P 500 implied volatility was dramatically lower last week.  Of significance is VXV which hit 2017 lows.  I’m teamed up with an academic putting the final touches on a study showing that VXV leads VIX so this may be a signal that the low for VIX in 2017 hasn’t be established and a close below […]

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