Category Archives: Futures and Options

The Week in Gold and Oil Volatility – July 19, 2013

Despite all the bullish and bearish commentary the price of gold seems to be calming down a bit as the SPDR Gold Shares ETF (GLD – 125.11) is finding a home in the mid 120’s.  The high low range was the narrowest it has been since six weeks ago.  I’ll revisit this in just a […]

The Week in Emerging Market Volatility – July 19, 2013

As the major US indexes continue to make new highs the emerging markets are trying to get on track.  Both the iShares MSCI Emerging Markets (EEM – 39.28) and iShares MSCI Brazil (EWZ-43.72) were higher with EWZ leading the way up over 3% on the week.  Apparently bargain hunters are coming in after the market […]

The Week in VIX Options and Exchange Traded Notes – July 19, 2013

In VIX options August became the front month with July VIX contracts settling on Friday.  As VIX continues to drift lower closing under 13 for the first time since mid-May VVIX also was at relatively low levels finishing Friday at 73.64.  The lowest levels for each in 2013 are 11.30 for VIX and 70.45 for […]

The Week in VIX and VXN – July 12, 2013

I will start out with a friendly reminder – VIX options and futures settle Wednesday on the open so there are only two more trading days for the July contracts.  This year has been a relatively calm one for VIX (so far).  Despite the relative calm it appeared to me that VIX and VXN futures […]

The Week in Gold and Oil Volatility – July 12, 2013

Much to the delight of gold bulls the price of gold was higher on the week and the SPDR Gold Shares ETF (GLD – 124.13) spent every day after Monday in the 120’s.  The result was subsequent pressure on the implied volatility of GLD options and GVZ dropping to 24.07 on the week which is […]

The Week in Emerging Market Volatility – July 12, 2013

Emerging market volatility has been elevated the past few weeks versus implied volatility as indicated by VIX.  I had not run a direct comparison of VXEEM versus VIX until this weekend and was truly surprised at just how high VXEEM is relative to VIX.  CBOE has data available for VXEEM going back to March 2011.  […]

The Week in VIX Options and Exchange Traded Notes – July 12, 2013

Second quarter earnings season started this past week with the bulk of reports coming next week.  So far the S&P 500 seems to be positive on earnings season (or something else) as the index rose almost 3% for the week ending July 12th.  This was actually the best week for the S&P 500 since rebounding […]

First Half 2013 VIX Action Mirrors 2007

In the VIX world, the first half of 2013 has been very similar to the first half of 2007.  I know 2007 is a very distant memory for all of us after the market behavior of late 2008 and early 2009, but those who do not learn from (or remember history) are doomed to repeat […]

Has the VIX Been “Low” or “High”? by Matt Moran

July 10, 2013 – As I have delivered presentations on the road, I recently have heard from investors that they are surprised that the CBOE Volatility Index® (VIX®) has been relatively low compared to its long-term average, especially in light of worldwide market uncertainties and press stories.  Since 1990 the average daily close for the […]

CBOE Gold ETF Volatility Index and the Price of Gold

The price of gold is getting a ton of press these days with some calling for the spot price to break $1000 an ounce and others calling a bottom at current levels.  When there is extra chatter like this about a certain market and divergent views I like to see what the market may be […]

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