Category Archives: VIX

Performance of Selected Tradable Volatility Indices: May 2012

May 2012 was a restless month in the US equity market. The S&P 500 Index declined 6% and VIX rose 40% from 17.15 (4/30/2012) to 24.06 (5/31/2012). The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index rose 28.71% and 13.13%, respectively. The S&P 500 Dynamic VIX Futures […]

Several Volatility Indexes Rose More Than 35% Last Month

Several volatility indexes (including VXGOG, VIX, OVX, VXN, VXEEM, and GVZ) rose more than 35% last month www.cboe.com/volatility The S&P 500 Index (TR) declined by 6% in May. The BXM and PUT Indexes took in premium that helped cushion their downside moves in May. www.cboe.com/benchmarks * Please note that indexes are not directly investable. Options […]

VIX-related Instruments to be Discussed at Three Events in New York

Next week VIX-related benchmark indexes and investable instruments will be discussed at three events in New York: Tuesday, April 24th – NY QWAFAFEW event begins at 5:30 p.m. at 40 E. 43rd St. 6:20 p.m. presentation on “Tail Risk Management, The VIX®, and Benchmark Indexes” http://bit.ly/NY-Qwa-VIX Wednesday, April 25th – Capital Link Forum begins at […]

Reaping Roll Yield from a Quasi Volatility Neutral Strategy

On February 8th, I discussed the use of the inverse VIX ETP (XIV) to collect the roll yield from the VIX futures. When stocks fall and volatility rises, however, such a naked short position drops drastically. From 4/2 to 4/10, XIV dropped from 12.29 to 9.94, and lost 19% of its value (it’s now back […]

Options on OVX Index Launch Tuesday, April 10th – Risk Management and Implied Volatility for Options on Oil Fund

On Tuesday April 10th CBOE is launching trading of options on the CBOE Crude Oil ETF Volatility Index (ticker – OVX), a key measure of the market’s expectation of 30-day volatility of crude oil prices that applies the VIX® methodology to United States Oil Fund (USO) options spanning a wide range of strike prices. www.cboe.com/ovx […]

Video: CBOE Volatility Index – Fact & Fiction Part 4

Watch Part 4 of CBOE’s Fact & Fiction five part educational series, where Doug Prskalo of Blue Capital Group discusses the direction the S&P 500 and  VIX move in and how traders use the VIX.

Webcast – Volatility: Strategies for Diversification and Risk Management

Title: Volatility: Strategies for Diversification and Risk Management Date: March 27, 2012 Time: 2:00 PM EST 1 CFP CE Credit Register Here What is volatility? How is it measured? What strategies can advisors use to manage risk and control swings in portfolios? Learn the answer to these questions and more as Tom Lydon, Editor of […]

New VVIX Index Measures the Volatility of Volatility

Bonita Springs, Fla., March 14, 2012 – Today CBOE introduced the new “VIX of VIX® Index (ticker: VVIX(SM)). www.cboe.com/VVIX The new VIX of VIX Index tracks the expected volatility of the CBOE Volatility Index® (the VIX® Index), the world’s most widely-followed market volatility index. VVIX reflects the market’s consensus of expected volatility of the 30-day […]

VIX of VIX – an Update on Volatility of Volatility

Just as an update on my February 24th post on the Volatility of Volatility, the CBOE has announced the launch of an index that tracks the volatility of VIX itself, the VVIX.  The VVIX is calculated using the the same methodology as the VIX index, using VIX Options to calculate the volatility of VIX. While […]

New Paper on Key Tools For Hedging and Tail Risk Management

Bonita Springs, FL – March 12, 2012 – Today Mr. Mitch Boraz, Senior Consultant at the Asset Consulting Group of St. Louis presented a new paper — “Key Tools for Hedging and Tail Risk Management” — at CBOE’s 28th Annual Risk Management Conference (RMC) www.cboermc.com The study, the second of two ACG papers commissioned by […]

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