Category Archives: Futures and Options

VIX Futures – Record Volume Day and Year

Dec. 31, 2012 – Here is a year-end update on VIX and select options-based indexes — Futures on the CBOE Volatility Index® (VIX®) set a new single-day volume record of 212,800 contracts (estimated) today. The new daily record eclipsed the previous single-day record of 190,081 contracts traded on September 13, 2012. VIX futures are poised […]

VIX Has Biggest 1-Day Jump of 2012; 6 Key Facts

Dec. 28, 2012 – Here is an update on 6 key facts about the VIX and related indexes and trading instruments — (1)    Today (Friday) the CBOE Volatility Index® (VIX®) rose 16.7%, its biggest one-day up move (in percentage terms) since November 2011.  A key factor in the rise in the VIX is investor uncertainty […]

Last Week’s VIX Action

Most of the week Dec VIX futures were at a discount to the spot VIX index. This was despite the November employment report being released on Friday. The market yawned at the report with the S&P 500 finishing up slightly on the week and VIX finished the week basically unchanged. The December contract spent most […]

VIX Futures – Prices and Record Volume

FRIDAY, DEC. 7 – People often ask me where they can find comparisons of the prices of the popular VIX® (spot) Index and the VIX futures. A good place to start is near the top of the VIX microwebsite at www.cboe.com/VIX , which has the following table that is updated intraday with delayed price quotes […]

Introducing the CBOE Low Volatility Index (LOVOL)

Nov. 29, 2012 – Today CBOE introduced the new CBOE Low Volatility IndexSM (ticker: LOVOL), a benchmark index designed for investors whose preferences have shifted from investing in riskier assets to lower-volatility assets. The LOVOL Index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a […]

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 […]

Record Volume Month for VIX Futures

Nov. 1st – The CBOE Futures Exchange, LLC (CFE®) announced today that trading in futures on the CBOE Volatility Index® (VIX®) reached an all-time volume high for any month in its history. During October, a record 2,443,878 VIX futures contracts changed hands, beating the September record of 2,400,552 contracts. VIX futures average daily volume (ADV) […]

Trading VIX – Trade-off between Liquidity, Beta Exposure and Roll Cost

Besides commodities, volatility is another example of the application of futures-based indices. Spot volatility, as measured by the VIX, is not tradeable as the index represents the weighted average of implied volatilities of various options on the S&P 500. Prior to the introduction of VIX futures on the Chicago Board Options Exchange in 2004, equity […]

25 Years Ago, the VXO Index Topped 150

Twenty-five years ago, on October 19, 1987, the S&P 500 Index (SPX) fell by 20.5%, and the CBOE S&P 100 Volatility Index (VXO) rose by 313% to close at an all-time daily closing high of 150.19. Below are key values for seven trading days in October 1987 — VXO INDEX – 25 YEARS AGO – […]

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 […]

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