Category Archives: Financial Markets

VIX Trading Today – 6/20/2013

With the relentless selloff that occurred today in the S&P 500, VIX reacted as would be expected and rose 23% to close over 20.00 for the first time in 2013.  VIX futures trading volume was exceptionally high coming in at 347,889 which is a second best in history.  The biggest volume day was back in […]

VXEEM, GVZ, & VXSLV All Rose More Than 30% Today – By Matt Moran

June 20, 2013 — In the past five years many investors have bemoaned the fact it can be more challenging to properly diversify portfolios, in that many investments have a distressing tendency to decline in tandem with other investments. As shown in the charts below, many securities (including the SPX Index, GLD ETF, SLV ETF, […]

VXTYN in Front of the Fed Decision

Tomorrow in the middle of the afternoon the markets will brace, take a deep breath, and then parse the wording of the press release from the Federal Reserve.  Consensus is that the Fed Funds target rate will stay in the 0.00% – 0.25% range where is has been since December 2008.  The real focus seems […]

Vol Indexes Up +17% So Far This Month – VHSI, VCAC, and VXEWZ – By Matt Moran

June 14, 2013 — Volatility indexes that have risen more than 17% so far this month include the VHSI – HSI Volatility Index (Hong Kong), the VCAC – CAC-40 Volatility Index (France), and the VXEWZ – CBOE Brazil ETF Volatility Index. On the other hand, the OVX – CBOE Crude Oil Volatility Index has fallen […]

SPX Options Volume Jumps to 1.15 Million Today

WED. NOV. 7 — Today, the day after the U.S. election, the trading volume for S&P 500® (SPX) options was a strong 1,153,017 contracts, the biggest volume day for SPX options since Sept. 14th.  For comparison purposes, the average daily volume for SPX options on the previous 8 trading days was 613,248. Today the S&P […]

“Drought” Options – Implied Vol Up 50% This Month

A recent Reuters news report indicated that “Grain prices pushed to record highs on Thursday as scattered rains in U.S. Midwest did little to douse fears that the worst drought in half a century will not end soon or relieve worries around the world about higher food prices.  Government forecasters did not rule out that […]

Performance of Selected Tradable Volatility Indices: June 2012

The S&P 500 Index rose 4% in June 2012, and VIX dropped 29% from 24.06 (5/31/2012) to 17.08 (6/29/2012). The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index dropped 29.05% and 12.24%, respectively. The S&P 500 Dynamic VIX Futures Index, however, managed to stay nearly flat (-0.58%), […]

Performance of Selected Tradable Volatility Indices: May 2012

May 2012 was a restless month in the US equity market. The S&P 500 Index declined 6% and VIX rose 40% from 17.15 (4/30/2012) to 24.06 (5/31/2012). The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index rose 28.71% and 13.13%, respectively. The S&P 500 Dynamic VIX Futures […]

The Other Side of VIX

The last three months saw the VIX spot dropped quickly from 30-ish to 10-ish. No wonder XIV, the inverse ETN to the S&P 500 VIX Short-Term Futures Index, was among the top performing ETPs in January. Its return was 30.88% in January 2012 and 14.02% in December 2011. S&P Indices General Disclaimer XIV collects daily […]

VEQTOR & Other Volatility Reduction Indices

Today I’m going to discuss three prepacked investment solutions that seek positive exposure to the equity market with different volatility reduction approaches: S&P 500 Low Volatility Index: uses stock selection and alternative weighting to minimize portfolio volatility without the use of derivatives or active hedge. PowerShares has issued an ETF (ticker SPLV) that tracks this […]

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