Category Archives: Futures and Options

New CBOE/CBOT 10-year U.S. Treasury Note Vol. Index (VXTYN) by Matt Moran

May 23, 2013 — Today a press release announced that CBOE began disseminating values for a new volatility benchmark index using futures options data on CME Group’s 10-year U.S. Treasury note contract.  The CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM (ticker symbol VXTNYSM) is the first volatility index based on U.S. government debt to be […]

SPX Tops Its First 100-Point Milestone in 13 Years – By Matt Moran

An interesting way to look at trends in the S&P 500® (SPXTM) Index is to look at the dates on which it first closed above its 100-point milestones. As shown in the table below, the SPX first closed above 200 in Nov. 1985, above 500 in March 1995, above 1000 in Feb. 1998, and above […]

Volatility Skewness Can Impact Hedging Costs – By Matt Moran

On Monday April 15th — the price of gold plunged 9.4% (its biggest daily drop in 30 years), the price of silver fell 11.3%, the CBOE Gold ETF Volatility Index (GVZ) rose 61.7% (a record one-day move), and new all-time records were established for daily trading volumes for VIX® futures, VIX options and GVZ futures.  […]

Record Daily Volume for GVZ and VIX Futures, as GVZ Jumps 61.7% – By Matt Moran

MONDAY, APRIL 15 — More one-day records were set today — Futures on the CBOE Volatility Index® (VIX®) set an all-time single-day volume record of an estimated 449,955 contracts. CBOE Gold ETF Volatility Index (GVZ) futures contract traded a single-day record of an estimated 1,488 contracts. GVZ – CBOE Gold Volatility Index had an all-time […]

VXSLV Up 30% and GVZ Up a Record 39.4% on Friday – By Matt Moran

On Friday April 12th – The CBOE Gold ETF Volatility Index (GVZ) rose 6.03 points to close at 21.32. The 39.4% rise was an all-time record for a one-day % rise for the GVZ Index.  CBOE Gold ETF Volatility Index (GVZ) Security Futures now are offered for trading. The CBOE Silver ETF Volatility Index (VXSLV) […]

Strong Options Volume Growth for Both SPX (Up 22%) and VIX (Up 48%) By Matt Moran

Both the S&P 500® (SPX) and the CBOE Volatility Index® (VIX®) index options experienced strong volume growth in the 1st quarter of 2013 compared with the 1st quarter of 2012 – SPX options average daily volume rose to 809,067 (up 22%) and VIX options average daily volume rose to 633,811 (up 48%). PUT/CALL RATIOS It […]

Total VIX Futures Volume Sets Record for 3rd Month in a Row By Matt Moran

A record 3,220,977 futures contracts on the CBOE Volatility Index® (VIX®) traded during March, exceeding the 3,062,344 contracts traded in February (the previous record) by five percent. March’s VIX futures volume rose by 64 percent when compared to the 1,963,893 contracts traded a year ago.  VIX futures have set all-time total volume records for three […]

Last Week’s VIX Action by Russell Rhoads, CFA

Both the S&P 500 and NASDAQ-100 were up slightly last week and both VIX and VXN were up as well.  That is where the similarity between VIX and VXN action ends.  Despite a higher VIX, all VIX futures contracts were lower on the week.  It appears that risk farther out on the curve is finally […]

Portfolio Protection Tools, As SPX Tops 1515 – By Matt Moran

This past Friday the S&P 500® Index (SPX) closed at 1517.93, and some investors are asking if now is the time to implement portfolio protection strategies.  Over the past decade the SPX Index had its highest daily close of 1565.15 on Oct. 9, 2007, and its lowest daily close of 676.53 on March 9, 2009. […]

Record Monthly Volume for VIX Futures and Options by Matt Moran

In January 2013 both options and futures on the CBOE Volatility Index® (VIX®) established new all-time monthly volume records. VIX Index options recorded their best month ever with an average daily volume (ADV) of 680,822 contracts, exceeding the previous record ADV of 582,022 contracts in August 2011.  Total volume for the month was 14.3 million […]

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