Category Archives: Futures and Options

VIX – Record “Cliff” Dive (Down 39.1%) and Record Volume

Jan. 4, 2013 – The CBOE Volatility Index® (VIX®) closed at 13.83 today and was down a record 39.1% this week as the U.S. Congress approved legislation to address the fiscal cliff uncertainties. VIX – BIGGEST 1-WEEK MOVES SINCE ITS INCEPTION IN JAN. 1990  Here is a list of the weeks when VIX had its […]

In 2012 VXAPL Rose 25.5% and VXGOG Fell 7.1%

Many investors noted the lack of volatility in the broad stock markets in 2012 – the CBOE Volatility Index® (VIX®) Index had an average daily closing value of 17.82 for the year, the lowest such value since 2007. Some tech stocks experienced more volatility than the S&P 500 in 2012. For example, Apple (AAPL) rose […]

VIX Has Its Biggest Two-Day Fall – 35.4%; Record Futures Volume

Jan. 2, 2013 – On the two most recent trading days of Dec. 31st and Jan. 2nd – The CBOE Volatility Index® (VIX®) fell by 35.4%, the biggest-ever drop (in percentage terms) over two trading days for the VIX Index, which has historical data back to 1990; and Futures on the VIX Index set new […]

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) […]

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