Category Archives: Uncategorized

Options on Ten Select Sector Indices To Launch

On September 12 CBOE Holdings, Inc. announced plans to expand its suite of product offerings tied to S&P Dow Jones Indices with the planned launch of options on the 10 S&P Select Sector Indices that comprise the S&P 500 Index, a key benchmark of the U.S. equities market. Options will be available on 10 sectors […]

VIX Index Closes Below 10 Again, As Professor Called the VIX Level the Biggest Financial Mystery

On June 1st the CBOE Volatility Index® (VIX®) closed at 9.89. June 1st marked only the 14th day on which the VIX Index closed below 10 (its price history begins in 1990). Six of the 14 days on which the VIX Index closed below 10 occurred in 2017 (see Exhibit 1 below for a list […]

CBOE SKEW Index Rises to 141.41, with Increased Demand for Portfolio Protection

FEB. 16, 2017 – Today the CBOE SKEW Index rose to 141.41, its highest level this month, and its 25th highest value since January 1990. With U.S. stock market indexes recently hitting all-time highs, there is quite a bit investor uncertainty about the markets and there is high demand for protection from large market declines. […]

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 […]

Weekend Review – Volatility Indexes and ETPs – 10/30/2016

As a good number, but not all (some of us are White Sox fans) of the traders on the floor at CBOE were starting to think about where they were going to be that evening to watch Game 3 of the World Series, some news broke that shook the equity markets.  I don’t need to […]

Sunday Night Trading of VIX and Stock Index Futures and Currencies During the Presidential Debate – By Matt Moran

October 9, 2016, 11:50 pm CT — Regarding the financial market movements Sunday night around and during the second presidential debate, below are some highlights. VIX FUTURES Trading volume for futures on the CBOE Volatility Index® (VIX®) on Sunday night from 5:00 p.m. through 11:15 p.m. exceeded 2,250 contracts. The chart below shows that the […]

Weekend Review – Volatility Indexes and ETPs – 9/11/2016

VXST more than doubled as a function of the index being depressed in front of the three-day weekend and then in reaction to Friday’s SPX sell off.  As would be expected, the rest of the VXST-VIX-VXV-VXMT curve moved higher as well, but outside of VXST relative to VIX we are still in a state of […]

Weekend Review – Volatility Indexes and ETPs – 8/21/2016

For the second week in a row the S&P 500 Index related volatility indexes hardly budged. Three out of four were lower with the longest dated, VXMT, up slightly on the week.   We’ve ranted and raved in various forums about how VVIX has been holding up despite a lower VIX. It was kind of […]

New SPX Monday-Expiring Weeklys Options To Launch Next Month

CBOE recently announced that it plans to list S&P 500® Index (SPX) Monday-expiring WeeklysSM options, beginning August 15, pending regulatory approval.  With the expected introduction of SPX “Monday Weeklys,” CBOE will offer SPX options with Monday, Wednesday and Friday expirations. SPX Weeklys are one of CBOE’s fastest-growing products, with volume in 2015 setting a 10th […]

Key VIX Futures Prices Jump More Than 60% By Early Friday Morning – By Matt Moran

JUNE 24, 2016 – Prices for certain futures contracts on the CBOE Volatility Index® (VIX®) rose more than 60% during the early part of the June 24 trading day, as more updates about the anticipated results of the Brexit referendum were divulged. At around 12:45 am ET on June 24 — (1) the VIX Weekly […]

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