VIX® Index Jumps 49.3% on Friday, with Record Overnight Volume for VIX Futures – By Matt Moran

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.

2 - VIX on June 23

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.

3-VIX Futures June 24 close

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.

1. S&P 500 Skew Chart

 

2 FXB Skew

Also note that the CBOE SKEW Index recently closed at 145.70, one of its highest levels in history. www.cboe.com/SKEW.

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

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