Author Archives: Russell Rhoads, CFA

Interesting VIX Option Spread Trade This Week

Things are fairly quiet today in the equity markets and the VIX pit, but traders are still talking about a pretty interesting spread that was initiated on Tuesday.  A trader came in and sold 25,000 VIX Sep 17 Calls and subsequently purchased 200,000 VIX Sep 27 Calls for a net cost of 0.02 (two cents […]

Last Week in VIX and VXN – August 30

I’m aware that Labor Day is early this year, but is not that we didn’t know September is coming.  Despite the approach of the month that might bring tapering has been known for some time, the markets appeared to begin their expected reaction last week.  The addition of the escalating crisis in Syria helped to […]

Last Week in Emerging Market Volatility – August 30

The Brazilian equity market continued on the prevailing trend lower this week after getting a temporary reprieve two weeks ago.  The equity market had a small bounce based on the announcement that the Brazilian Central Bank was going to step in and prop up the currency.  This was a short lived recovery for the real […]

Last Week in Gold and Oil Volatility – August 30

When CBOE Gold ETF Volatility Index (GVZ-24.44) futures and options were first listed I was on the floor of the CBOE using a quote machine.  A trader walked by and made the comment that people would not have an interest in GVZ because it is, “just going to do the same thing that VIX does”.  […]

Last Week in VIX Options and ETNs – August 30

For all the criticism that gets thrown at the iShares S&P 500 VIX Short Term Futures ETN (VXX – 17.04) it does do what it is supposed to do when it is supposed to do it.  That means when the S&P 500 sells off in a manner than results in a spike in VIX and […]

Last Week in VIX and VXN – August 25

VIX closed the week down 0.39 to 13.98 for a drop of 2.71%.  This is not the entire story by a long shot.  The S&P 500 was under pressure mid-week and the result was VIX in the mid-16’s for a portion of Wednesday’s trading.  When VIX is elevated I automatically check the near month futures.  […]

Last Week in Emerging Market Volatility – August 25

Implied volatility as indicated by option pricing on the iShares MSCI Brazil Capped (EWZ – 43.78) dipped under 30.00 on Friday as the underlying ETF rose over 4%.  The gain in EWZ was based on the Banco Central Do Brasil (Central Bank of Brazil) taking action to support the Brazilian real.  The real has been […]

Last Week in Gold and Oil Volatility – August 25

The price of gold continued higher this week and closed at the highest level of the summer.   The SPDR Gold Shares (GLD – 134.90) broke above 130.00 two weeks ago and has not looked back.  Initially this break through resistance was met by a coincident rise in implied volatility.  The CBOE Gold ETF Volatility Index […]

Last Week in VIX Options and ETNs – August 25

Friday morning the S&P 500 appeared destined toward finishing the week basically unchanged and VIX also was just pennies away from last Friday’s close.  The persistent grind higher on Friday helped the S&P 500 avoid developing a weekly losing streak.  The higher close on Friday also managed to push the VIX a tad below 14.00 […]

Last Week in VIX and VXN – August 18, 2013

Equity markets were lower in the US last week and volatility rose as expected.  The S&P 500 was off over 2% and NASDAQ-100 dropped 1.4%.  VIX climbed 7% and VXN was up 8% as the spread between the two widened a bit, but is still below average.  The August VXN contract settled at 15.00 on […]

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