Category Archives: Futures and Options

VXAPL Index Up 97%, as Apple Puts Become More Expensive

October 5, 2012 – The CBOE Equity VIX® on Apple (VXAPL) has risen from an intraday low of 18.81 on August 13, 2012, to a closing value of 37.03 today, a rise of 97%. An October 4th Bloomberg news article by Cecile Vannucci and Nikolaj Gammeltoft notes that — “Apple Puts Jump to 10-Month High […]

Recap of Oct. 2nd Panel on Managing Risk and Yield

On October 2nd 85 financial professionals attended a panel discussion at CBOE on “Managing Risk and Yield in a Low Interest-rate Environment: Options-based and Low Volatility Strategies.” The three panelists were —  (1) Mr. Scott Maidel, CFA, CAIA, FRM, senior portfolio manager in the equity derivatives group for Russell Investments and co-portfolio manager of the […]

VIX Presentations in NYC (Oct. 18) and Boston (Oct. 25)

As shown in the charts below, both VIX® futures and VIX options are experiencing all-time record high average daily volumes this year.   While interest in VIX is high, many investors remark that they would like to learn more about VIX and volatility.  Presentations on Accessing VIX and Volatility will be delivered in New York and […]

OVX/VIX Ratio Rises Above 2.2

Sept. 27 – Investors can gain valuable insights into the relative costs of various options positions by comparing the values of key volatility indexes.  On Thursday the closing values for three volatility indexes were — 33.05             OVX – CBOE Crude Oil Volatility Index 17.07             VXV – CBOE S&P 500 3-Month Volatility Index 14.84             VIX® – […]

VXTH Index and Panel on Oct. 2nd

Three financial experts will discuss the topic ‘Options for Managing Risk and Yield in a Low Interest-rate Environment’ at a panel discussion to be held from 5:00 p.m. to 6:30 p.m. on Tuesday, October 2nd on the fourth floor of the Chicago Board Options Exchange (CBOE), 400 South LaSalle Street, Chicago. The three panelists will […]

This Week in VIX and VXN Trading

Both the S&P 500 and Nasdaq-100 Indexes were higher last week. Neither VIX nor VXN followed the typical inverse relationship with the underlying indexes and actually finished the week higher as well. On the open Friday, the S&P 500 was higher and VIX was under pressure trading around 13.50. I saw several twitter comments predicting […]

This Week In VIX Options and ETNs

This past week the S&P 500 rose almost 2% on the week and in a strange twist VIX was higher on the week as well.  Friday’s action contributed to a corresponding rise for VIX on the week as it appeared portfolio managers may have been in the market for portfolio protection through buying SPX puts.  […]

Record VIX Futures Volume

Earlier this week (Tuesday) we witnessed record volume in VIX Options and now the VIX Futures trading at the CBOE Futures Exchange have followed suit. On Thursday the CFE experience a record volume day of its own with strong volume in the VIX Futures arena. At the CFE just over 190,000 VIX Futures were traded […]

Record VIX Option Volume

Yesterday – September 11, 2012 was a record day for VIX option trading with approximately 1.22 million contracts traded. This surpasses the previous record of 1.17 million contracts back on August 5, 2011. This also marks only the third time that VIX option volume has surpassed 1 million contracts. The other day this occurred was […]

Low-cost Protection — One Year After VIX Peak

AUG. 9, 2012 — A year ago, on August 8, 2011, the CBOE Volatility Index® (VIX®) closed at 48.00, its highest closing value since March 9, 2009. Yesterday, on August 8, 2012, the VIX closed at 15.32 (a level that was 68% lower than the year-earlier level). Yesterday Reuters published an article is entitled “Time […]

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