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 the U.S. national elections), the S&P 500® Index rose 2.2%, and the percentage changes for some key volatility indexes were as follows:
- -16.9% VIX CBOE Volatility Index
- -14.5% EUVIX CBOE/CME FX Euro Volatility Index
- -12.3% VXEFA CBOE EFA ETF Volatility Index
- -10.3% VVIX CBOE VIX of VIX Index
- -8.4% GVZ CBOE Gold ETF Volatility Index
- 2.4% TYVIX CBOE/CBOT 10-year U.S. Treasury Note Volatility Index
Visit www.cboe.com/volatility for values and prices changes for more than two dozen more volatility indexes.
PRICE CHARTS SINCE OCTOBER 24
Below are price charts showing daily closing values for four volatility indexes over the past eleven trading days. It appears that FBI announcements (on Friday, October 28, and on Sunday, November 6, regarding the status of their investigations of Hillary Clinton’s emails) had an impact on key volatility indexes.
VOLATILITY SKEW FOR VIX OPTIONS
The next chart below show the Livevol estimates for the volatility skew for VIX options at the close today (when the VIX Index was priced at 18.71. Note that the implied volatility estimate for the VIX 20 calls expiring this Wednesday was 330 (much higher than the estimates for implied volatility for VIX calls that expire on the following Wednesdays).
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, and
- RMC US 2017: Wednesday – Friday, March 8 – 10, 2017 at the St. Regis Monarch Beach, Dana Point, California.