The CBOE Volatility Index® (VIX®) rose 49.3% on June 24, after the results of the Brexit referendum were announced. The VIX Index is a key measure of market expectations of near-term volatility conveyed by S&P 500® stock index option prices.
FUTURES ON THE VIX INDEX
On June 24 the CBOE Futures Exchange, LLC (CFE®) announced record volume was set in VIX futures traded in non-U.S. trading hours with an estimated 235,000 contracts changing hands. The June 24 record surpasses the previous single-day record of 140,811 contracts set during the overnight session on August 24, 2015.
VIX futures now have expirations on several near-term Wednesdays. The table below shows that the VIX futures rose by more than 5.5 points for all four expirations in the next month.
VOLATILITY SKEW CHARTS FOR SPX INDEX AND FXB ETF OPTIONS
A key issue for some cautious investors who want to hedge is – what are the implied volatilities for various out-of-the-money (O-T-M) put options on equity securities that can be used to hedge my portfolio?
Below are Livevol skew charts for two key securities – S&P 500 (SPX) Index and FXB ETF – that show global implied volatility this morning at various strike prices and maturities. The O-T-M put options generally had much higher implied volatility than the at-the-money or in-the-money put options. CBOE offers both Wednesday and Friday expirations on S&P 500 (SPX) options. www.cboe.com/SPX.
Also note that the CBOE SKEW Index recently closed at 145.70, one of its highest levels in history. www.cboe.com/SKEW.