Category Archives: Performance

The Week in Emerging Market Volatility – July 19, 2013

As the major US indexes continue to make new highs the emerging markets are trying to get on track.  Both the iShares MSCI Emerging Markets (EEM – 39.28) and iShares MSCI Brazil (EWZ-43.72) were higher with EWZ leading the way up over 3% on the week.  Apparently bargain hunters are coming in after the market […]

The Week in VIX Options and Exchange Traded Notes – July 19, 2013

In VIX options August became the front month with July VIX contracts settling on Friday.  As VIX continues to drift lower closing under 13 for the first time since mid-May VVIX also was at relatively low levels finishing Friday at 73.64.  The lowest levels for each in 2013 are 11.30 for VIX and 70.45 for […]

How Do Volatility Indexes Compare to Volatility Skew? By Matt Moran

How does 30-day implied volatility at various strike prices compare to related volatility indexes?  This Blog provides a brief overview of some sample data and graphs on this topic. COMPARING IMPLIED VOLATILITY AND VOLATILITY INDEXES While the volatility indexes are great gauges for showing intraday and long-term changes in expected volatility, the volatility indexes often […]

The Week in VIX and VXN – July 12, 2013

I will start out with a friendly reminder – VIX options and futures settle Wednesday on the open so there are only two more trading days for the July contracts.  This year has been a relatively calm one for VIX (so far).  Despite the relative calm it appeared to me that VIX and VXN futures […]

The Week in Gold and Oil Volatility – July 12, 2013

Much to the delight of gold bulls the price of gold was higher on the week and the SPDR Gold Shares ETF (GLD – 124.13) spent every day after Monday in the 120’s.  The result was subsequent pressure on the implied volatility of GLD options and GVZ dropping to 24.07 on the week which is […]

The Week in Emerging Market Volatility – July 12, 2013

Emerging market volatility has been elevated the past few weeks versus implied volatility as indicated by VIX.  I had not run a direct comparison of VXEEM versus VIX until this weekend and was truly surprised at just how high VXEEM is relative to VIX.  CBOE has data available for VXEEM going back to March 2011.  […]

The Week in VIX Options and Exchange Traded Notes – July 12, 2013

Second quarter earnings season started this past week with the bulk of reports coming next week.  So far the S&P 500 seems to be positive on earnings season (or something else) as the index rose almost 3% for the week ending July 12th.  This was actually the best week for the S&P 500 since rebounding […]

Has the VIX Been “Low” or “High”? by Matt Moran

July 10, 2013 – As I have delivered presentations on the road, I recently have heard from investors that they are surprised that the CBOE Volatility Index® (VIX®) has been relatively low compared to its long-term average, especially in light of worldwide market uncertainties and press stories.  Since 1990 the average daily close for the […]

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 […]

  • Categories

  • Recent Comments

  • Tags

  • Subscribe to
    VIX Views
  • Contributors

  •  

  • Quick Links

  • Blogroll

  • Follow Us

    RSSTwitterFacebookLinkedInYouTube
  • Archives