Author Archives: Russell Rhoads, CFA

Finding Volatility in the US Markets

VIX is low, we all know VIX is low.  I type that and feel I need to stop channeling Dr. Seuss. However, there are some pockets of volatility in the US equity markets, we just need to know where to look.  Since CBOE quotes several volatility indexes that are based on the US markets I […]

Weekend Review – Volatility Indexes and ETPs – 2/5/2017

VXST dropped while the other three volatility indexes based on S&P 500 index option pricing rose slightly.  This all happened despite a rise in the S&P 500 last week. Probably the most notable thing on the table below is the rise in VVIX despite the stock market and VIX not doing much last week. Focusing […]

Weekend Review – VIX Futures and Options – 2/5/2017

VIX rose slightly last week while all standard futures contracts lost value.  February settlement is a week and a half off so the longer VIX remains in the 10’s the more drift lower we should expect out of the front month future. As the front month starts to approach settlement date, VIX option traders start […]

Weekend Review – VIX Options and Futures – 1/15/2017

Last week VIX managed to finish the day below the 2016 closing low (11.27) twice.  If it were only Friday’s close I’d throw an asterisk in there for the three-day weekend effect, but there’s no holiday excuse for the Wednesday close of 11.26. This past week they (whoever ‘they’ are) couldn’t get enough of February […]

Weekend Review – Volatility Indexes and ETPs – 1/15/2017

There are two lines below although it may appear that there is only a purple line for parts of the VXST – VIX – VXV – VXMT curve.  In a round about way I’m saying not a lot happened in the world of S&P 500 option volatility last week. What really stands out on the […]

Weekend Review – VIX Options and Futures – 1/8/2017

With the stock market kicking off 2017 on a bullish note VIX tested the 2016 closing low finishing the week 0.05 above last year’s low of 11.27.  The futures followed suit, especially the January contract which goes off the board two days before the 45th man to ascend to the presidency does so on January […]

Weekend Review – Volatility Indexes and ETPs – 1/8/2017

S&P 500 implied volatility was lower across all four time periods that are measured by CBOE Volatility Indexes last week.  VXST finished the week at 9.19 which is actually a tad higher than the low for 2016.  VIX also finished near the 2016 low of 11.27 but finished 0.05 above that level.  As a Trump […]

Five Volatility Market Lessons from 2016

To be successful in any field we all need to keep learning.  My job involves staying on top of all things index and volatility related which means I am always gaining new insights about the markets.  Looking back at 2016, VIX settled into lower levels after starting the year hitting the mid-20’s as the stock […]

History Lesson – VIX at Year’s End

I have been banned from CBOE until next year due to having an abundance of unused days off.  However, I can still play with numbers and I decided to take a look at what VIX does on average between the last trading day before Christmas and the first trading day of the following year.  This […]

Volatility History Lesson – The 2012 Election

I’ve been getting lots of questions with respect to how volatility acts around US elections.  We don’t have a lot of history to work with, but we do have data on how the four volatility indexes based on SPX option trading did four years ago.  I did a little digging and reconstructed the VXST – […]

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