Category Archives: Futures and Options

The Week in VIX and VXN – July 5, 2013

VIX and VXN were both on hold in front of expected news on Thursday and Friday.  While we celebrated the 237th anniversary of the Declaration of Independence on Thursday the European Central Bank made comments following a regularly scheduled meeting that pushed equity markets higher around the world.  Not to be outdone some of us […]

The Week in Gold and Oil Volatility – July 5, 2013

During the previous week the price of gold made new two years lows with the SPDR Gold ETF (GLD – 118.09) closing at 115.94 last Thursday.  The 115 price level seems to be developing as a new support level as it appears GLD likes price levels that end in ‘0’ or ‘5’.  The CBOE Gold […]

The Week in Emerging Market Volatility – July 5, 2013

In the emerging market space 2013 has turned out to be a very tough year.  The iShares FTSE China Index Fund ETF (FXI – 32.07) is down 18.5% this year and is indicative of the tough time the iShares Emerging Markets Index ETF (EEM – 37.37) has had losing 14.7% on the year.  Despite the […]

The Week in VIX Options and Exchange Trade Products – July 5, 2013

The market was sort of on hold for the first three days this past week based on the Independence Day holiday disrupting the normal flow of trading.  In addition there was sort of a pause in place before the European Central Bank interest rate decision that came out while many of us were taking the […]

Two-day Jumps for Indexes – VXEEM up 20% and OVX up 16% – By Matt Moran

July 3, 2013 – Over the past two days news reports have noted unrest in Portugal and Egypt and in the oil markets.  A recent Reuters report noted that —  “Global equity markets slid on Wednesday on worries over signs of slowing growth in China and deepening political turmoil in Portugal … U.S. stocks bucked […]

The Week in VIX and VXN – 6/28/2013

The S&P 500 was up just under 1% for the week and the Nasdaq-100 gained just over 1%.  Both volatility indexes dropped as would be expected.  VIX was down over 10% and VXN dropped just over 15%.  This activity put VXN at a 0.39 discount to VIX which is historically low level.  VXN usually maintains […]

The Week in Gold and Oil Volatility – 6/28/2013

The SPRD Gold Shares ETF (GLD – 119.11) continued a slide that started in mid-April.  With a couple of small rests GLD has been in a downtrend since mid-February and this ETF is down just over 25% for the year.  With this most recent break of support forecasters are now calling for a drop below […]

The Week in Emerging Market Volatility – 6/28/2013

It appears emerging market volatility in the form of VXEEM and VXEWZ both are indicating the beginning of a return to a low volatility environment.  The Brazilian market had a chance to catch its breath and was down less than 1% last week.  This resulted in VXEWZ coming in 16%, but the futures were down […]

The Week in VIX Options and Exchange Traded Products – 6/28/2013

In VIX Option activity the focus seems to be moving early to August trading.  I say early as the second month focus usually comes a week or two before the front month expiration.  The pending holiday week probably contributed to traders beginning to look to August.  Wednesday there was a buyer of over 100,000 VIX […]

Bank of America Merrill Lynch Introduces a VIX Calendar Strangle Index

Last week I got received a research report from Bank of America Merrill Lynch that led with the introduction of the BofA Merrill Lynch VIX Calendar Strangle Index.  This index depicts the performance of a strategy that will purchase VIX put options that expire 3 months out and are 2.5% out of the money and […]

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