Saturday, Jan. 19, 2013 – Yesterday the CBOE Volatility Index® (VIX®) closed at 12.46, its first daily close below 13.00 since June 2007. In addition, the S&P 500® Index reached a 5-year high yesterday. BIGGEST 3-WEEK DROPS Over the past three weeks (ending Jan. 18th) the VIX Index fell 45.2%, its biggest-ever 3-week fall in […]
This past week VIX was quoted at the lowest levels seen before the financial crisis of 2007 and VIX continues to spend time in the 13’s. The low level of VIX has been getting a lot of attention, but VVIX has also been making some significant lows. Last Friday VVIX closed at an all-time low […]
During times when the CBOE Volatility Index® (VIX®) is at relatively low levels, we often receive investor questions such as – how much of an allocation might I make to VIX futures and options in order to try to diversify my portfolio? RELATIVELY LOW RECENT VALUES FOR VIX In 2012 the average daily closing value […]
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 […]
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 […]
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 […]
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 […]
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 […]
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 […]
Last Week’s VIX Action by Russell Rhoads, CFA
US equity market volatility has reached levels not seen in some time. The market (for the most part) continues to trade in narrow daily ranges which results in low realized volatility. As the moves are mostly to the upside VIX and VXN have come under some extra pressure. VIX went out Friday at 12.46. Do […]
Futures and Options, VIX, Volatility