Category Archives: Financial Markets

PUT Index Generated Lower Volatility, Less Severe Drawdowns, More Income and Better Risk-Adjusted Returns

The Cboe S&P 500 Putwrite Index (PUT) is designed to reflect a cash-secured put-writing strategy. The PUT strategy is designed to sell a sequence of one-month, at-the-money, S&P 500 (SPX) Index puts and invest cash at one- and three-month Treasury bill rates. The number of puts sold is limited so that the amount held in […]

Weekend Review of VIX Futures and Options – 12/24/2017

December VIX went off the board and January became the front month this past week.   VIX moved higher for the week, however, all the standard futures moved down a bit.  The contango is still steep as traders start to brace for 2018. Late Friday someone executed the VIX version of a covered call focusing on […]

Weekend Review of Volatility Indexes and ETPs – 12/24/2017

The volatility index price action relative to the equity market price action was pretty interesting last week.  The S&P 500 was higher, as were three of the four volatility indexes calculated using S&P 500 option pricing.  VXST was lower, but that is very common before three day weekends due to the calculation methodology (calendar days) […]

Weekend Review – Volatility Indexes and ETPs – 12/17/2017

Friday was a huge day for US stocks with broad based indexes rallying nicely.  The result was pressure on the SPX related volatility indexes which pushed them from up on the week to having a losing week. Friday’s price action put pressure on the long ETPs and pushed the short ETPs (XIV and SVXY) to […]

Weekend Review – Volatility Indexes and ETPs – 10/8/2017

The VXST – VIX – VIXM3 – VXMT curve was mixed with VIX rising but the other three S&P 500 related volatility indexes lower on the week. On the summary table, SKEW and VVIX stand out as indications that risk is lurking around the markets.  As a perspective, we have SKEW data going back to […]

Record Days for VIX Futures and Options Volume and Open Interest This Month

Despite the fact that the average daily closing value of the CBOE Volatility Index® (VIX®) is about 11.5 so far this year, VIX futures and options both had record days for volume and for open interest this month. OPEN INTEREST RECORDS. VIX futures hit a new record for open interest with more than 673,000 contracts on […]

New Single-day Volume Records for VIX Futures and VIX Options, as the VIX Index Rises 44.4%

An August 10 press release by CBOE Holdings stated that — “ … trading volume in options and futures on the CBOE Volatility Index® (VIX®) each reached new all-time highs on Thursday, August 10. In VIX options at CBOE, a reported 2,562,477 contracts traded on Thursday, surpassing the previous single-day record of 2,382,752 contracts on […]

2017 is a Record-Breaking Year for Both SKEW-Over-145 and VIX-Under-10 Values

In recent weeks several news articles have noted that the CBOE Volatility Index® (VIX®) dipped below 10, and have asked if there is an unusual amount of complacency in the markets. The VIX Index closed below 10 on seven straight trading days (an all-time record) from July 13 to July 21. Recent headlines stated (1) […]

Weekend Review of Volatility Indexes and ETPs – 7/23/2017

VIX finished the week just off all-time lows and the VXST – VIX – VXV – VXMT curve shifted lower.  This is a result of realized volatility for S&P 500 price action remaining low and there not appearing to be any speed bumps on the horizon for the financial markets. VVIX dipped below 80.00 to […]

Weekend Review of VIX Futures and Options – 7/16/2017

VIX finished the week at the lowest close since 1993, but the two lower closes came during a holiday week so I’m considering consulting with other VIX watchers with respect to if this is basically an all-time low.  Note the dramatic move in the July contract that goes off the board on the open Monday. […]

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