Category Archives: VIX

2012 VIX in Context by Russell Rhoads, CFA

In Chapter 9 of Trading VIX Derivatives I discuss VIX as a stock market indicator. The relationship between VIX and VIX futures is discussed and to smooth futures data I created what I call the Modified VIX Futures contract. The motivation behind creation of this Modified VIX Futures contract was to have a consistent futures […]

VIX Drops to 13.22 — Lowest Level Since June 2007

Jan. 9, 2013 – Today the CBOE Volatility Index® (VIX®) dropped to its lowest intraday value since June 20, 2007.  Here is a 5-year chart of VIX values –For more information on VIX-related strategies and papers, please visit www.cboe.com/VIX. ++++++++++++++++++ CBOE S&P 500® Implied Correlation Index Fell 27.8% In recent years investors often have asked […]

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 […]

The Disciplined Investor Podcast: Understanding VIX

In a recent podcast with Andrew Horowitz from The Disciplined Investor, I discussed what the VIX is, how it is structured and common misconceptions about the index.  Click here to listen to the full podcast.

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 […]

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