Author Archives: Russell Rhoads, CFA

The Week in VIX and VXN – 6/28/2013

The S&P 500 was up just under 1% for the week and the Nasdaq-100 gained just over 1%.  Both volatility indexes dropped as would be expected.  VIX was down over 10% and VXN dropped just over 15%.  This activity put VXN at a 0.39 discount to VIX which is historically low level.  VXN usually maintains […]

The Week in Gold and Oil Volatility – 6/28/2013

The SPRD Gold Shares ETF (GLD – 119.11) continued a slide that started in mid-April.  With a couple of small rests GLD has been in a downtrend since mid-February and this ETF is down just over 25% for the year.  With this most recent break of support forecasters are now calling for a drop below […]

The Week in Emerging Market Volatility – 6/28/2013

It appears emerging market volatility in the form of VXEEM and VXEWZ both are indicating the beginning of a return to a low volatility environment.  The Brazilian market had a chance to catch its breath and was down less than 1% last week.  This resulted in VXEWZ coming in 16%, but the futures were down […]

The Week in VIX Options and Exchange Traded Products – 6/28/2013

In VIX Option activity the focus seems to be moving early to August trading.  I say early as the second month focus usually comes a week or two before the front month expiration.  The pending holiday week probably contributed to traders beginning to look to August.  Wednesday there was a buyer of over 100,000 VIX […]

Bank of America Merrill Lynch Introduces a VIX Calendar Strangle Index

Last week I got received a research report from Bank of America Merrill Lynch that led with the introduction of the BofA Merrill Lynch VIX Calendar Strangle Index.  This index depicts the performance of a strategy that will purchase VIX put options that expire 3 months out and are 2.5% out of the money and […]

VIX and VXN – Week of 6/21/2013

It was a tumultuous week for VIX.  June settlement came in at 17.22 which was the highest settlement value since last year.  The S&P 500 was off 2.11% which matched the worst weekly performance in 2013.  Thursday, with the stock market under pressure VIX closed over 20.00 for the first time this year and the […]

Gold and Oil Volatility – Week of 6/21/2013

For those that follow technical analysis and support and resistance levels you understand that when support is broken it becomes resistance for a market.  The price of gold in the form of the SPDR Gold Shares ETF (GLD – 125.05) had been holding the 130 – 131 level for the past few weeks since dropping […]

Emerging Market Volatility Week of 6/21/2013

There is no real way to quantify 2,000,000 people protesting their government, but the CBOE Brazil ETF Volatility Index (VXEWZ – 38.47) came pretty close this week rising over 22% on the week.  On Thursday it actually closed above the 40.00 level for the first time since a year and a week ago on June […]

VIX Options and Exchange Traded Products – Week of 6/21

This week’s 2.11% drop in the S&P 500 matches the worst week this year.  The other 2.11% drop occurred when the S&P 500 came under pressure in mid-April in conjunction with the headline grabbing drop in the price of gold that week.  What is different this time is that market volatility was a bit more […]

Volatility Curves All Flat or in Backwardation

With pressure abounding in the financial markets volatility as a tradable asset had quite a day.  The CBOE Futures Exchange experienced the second busiest day in history as all six volatility indexes that have futures markets were up significantly.  The one day performance for each index was – S&P 500 – VIX 20.49 +3.85 (23.14%) […]

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