Record Volume for VIX Weekly Futures Today as Five Volatility Indexes Rose by More Than 20% – By Matt Moran

August 20 – Today the S&P 500 (SPX) Index and Dow Jones Industrial Average both fell by 2.1%, while the CBOE Volatility Index (VIX) and 4 other volatility indexes rose by more than 20% (see table below), and the VIX Weekly futures had record daily volume of 1,847 (estimated).

STRIKING PRICE COLUMN

In a recent piece at barrons.com, Steve Sears penned a column with the headline “Fear of Fed, China, Oil: Volatility Trade Is Back” and noted that –

“Some observers are now contending – and preparing – for the CBOE Volatility Index ( VIX ) to be much higher by fall. “The ingredients are in place for more financial market volatility,” Russ Koesterich, BlackRock’s chief investment strategist, is advising clients. Trading patterns show investors think the VIX could surge to 28 by October. Such a move would be accompanied by a sharp decline in the stock market. …”

29 VOLATILITY INDEXES ON AUGUST 20

The table below shows the daily percentage changes and closing values for 29 volatility indexes (at www.cboe.com/volatility) on August 20 –

% change  Last  Ticker  Index
45.6%   20.88   VXST CBOE Short-Term Volatility Index
25.8%   19.73   VXD CBOE DJIA Volatility Index
25.5%   19.14   VIX®   CBOE Volatility Index®
24.5%   21.61   VXN CBOE NASDAQ Volatility Index
23.6%   19.98   VXO CBOE S&P 100 Volatility Index
19.4%   32.73   VXAZN CBOE Equity VIX® on Amazon
18.5%   22.81   RVX CBOE Russell 2000 Volatility Index
18.4%   108.75   VVIX CBOE VIX of VIX Index
16.5%   22.05   VXEFA CBOE EFA ETF Volatility Index
16.0%   25.44   VXGS CBOE Equity VIX® on Goldman Sachs
15.9%   34.47   VXAPL CBOE Equity VIX® on Apple
14.1%   18.83   VXV CBOE 3-Month Volatility Index
12.6%   27.09   VXGOG CBOE Equity VIX® on Google
11.9%   31.37   VXXLE CBOE Energy Sector ETF Volatility Index
11.2%   36.33   VXFXI CBOE China ETF Volatility Index
10.9%   21.38   VXIBM CBOE Equity VIX® on IBM
10.0%   30.02   VXEEM CBOE Emerging Markets ETF Volatility Index
8.8%   19.1   VXMT CBOE Mid-Term Volatility Index
6.6%   9.16   JYVIX CBOE/CME FX Yen Volatility IndexSM
5.7%   16.87   GVZ CBOE Gold ETF Volatility Index
4.1%   29.21   VXSLV CBOE Silver ETF Volatility Index
3.6%   5.79   TYVIX CBOE/CBOT 10-year U.S. Treasury Note Volatility Index
3.1%   42.58   OVX CBOE Crude Oil ETF Volatility Index
1.2%   40.53   VXEWZ CBOE Brazil ETF Volatility Index
0.4%   88.17   SRVIX CBOE Interest Rate Swap Volatility Index
0.4%   10.29   EUVIX CBOE/CME FX Euro Volatility Index
0.1%   52.44   VXGDX CBOE Gold Miners ETF Volatility Index
-0.3%   7.46   BPVIX CBOE/CME FX British Pound Volatility Index
-1.3%   10.49   EVZ CBOE EuroCurrency ETF Volatility Index

SEVEN VOLATILITY-RELATED INDEXES ON AUGUST 20

The table below shows the daily percentage changes and closing values for seven other volatility-related indexes on August 20 –

% Change Last Ticker Index
26.0%   18.52   VWB CBOE VIX Indicative Bid Index
25.5%   19.15   VIN CBOE SPX Near-term VIX Index
24.8%   19.75   VWA CBOE VIX Indicative Ask Index
24.0%   19.13   VIF   CBOE SPX Far-term VIX Index
10.9%   52.8   ICJ   CBOE S&P 500 Implied Correlation Index (fixed maturity)
0.1%   57.64     JCJ   CBOE S&P 500 Implied Correlation Index (fixed maturity)
-2.8%   118.76   SKEW CBOE S&P 500 SKEW Index

MORE INFORMATION

To learn more about 29 volatility indexes, and about futures and options on volatility indexes, please visit www.cboe.com/volatility.

 

The posts on this blog are opinions, not advice.
Please read our disclaimer for Indices.

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