Category Archives: Performance

Bank of America Merrill Lynch Introduces a VIX Calendar Strangle Index

Last week I got received a research report from Bank of America Merrill Lynch that led with the introduction of the BofA Merrill Lynch VIX Calendar Strangle Index.  This index depicts the performance of a strategy that will purchase VIX put options that expire 3 months out and are 2.5% out of the money and […]

Volatility Curves All Flat or in Backwardation

With pressure abounding in the financial markets volatility as a tradable asset had quite a day.  The CBOE Futures Exchange experienced the second busiest day in history as all six volatility indexes that have futures markets were up significantly.  The one day performance for each index was – S&P 500 – VIX 20.49 +3.85 (23.14%) […]

VIX Trading Today – 6/20/2013

With the relentless selloff that occurred today in the S&P 500, VIX reacted as would be expected and rose 23% to close over 20.00 for the first time in 2013.  VIX futures trading volume was exceptionally high coming in at 347,889 which is a second best in history.  The biggest volume day was back in […]

VXEEM, GVZ, & VXSLV All Rose More Than 30% Today – By Matt Moran

June 20, 2013 — In the past five years many investors have bemoaned the fact it can be more challenging to properly diversify portfolios, in that many investments have a distressing tendency to decline in tandem with other investments. As shown in the charts below, many securities (including the SPX Index, GLD ETF, SLV ETF, […]

Vol Indexes Up +17% So Far This Month – VHSI, VCAC, and VXEWZ – By Matt Moran

June 14, 2013 — Volatility indexes that have risen more than 17% so far this month include the VHSI – HSI Volatility Index (Hong Kong), the VCAC – CAC-40 Volatility Index (France), and the VXEWZ – CBOE Brazil ETF Volatility Index. On the other hand, the OVX – CBOE Crude Oil Volatility Index has fallen […]

Consumer Sentiment Index Hits Highest Level Since 2007 – By Matt Moran

May 17, 2013 — A report on Bloomberg news on Friday noted that —  “Consumer confidence rose in May to the highest level in almost six years as an advancing stock market and cheaper gas prices helped lift Americans’ outlook on the economy.   The Thomson Reuters/University of Michigan preliminary index of consumer sentiment rose to […]

SPX Tops Its First 100-Point Milestone in 13 Years – By Matt Moran

An interesting way to look at trends in the S&P 500® (SPXTM) Index is to look at the dates on which it first closed above its 100-point milestones. As shown in the table below, the SPX first closed above 200 in Nov. 1985, above 500 in March 1995, above 1000 in Feb. 1998, and above […]

Volatility Skewness Can Impact Hedging Costs – By Matt Moran

On Monday April 15th — the price of gold plunged 9.4% (its biggest daily drop in 30 years), the price of silver fell 11.3%, the CBOE Gold ETF Volatility Index (GVZ) rose 61.7% (a record one-day move), and new all-time records were established for daily trading volumes for VIX® futures, VIX options and GVZ futures.  […]

Record Daily Volume for GVZ and VIX Futures, as GVZ Jumps 61.7% – By Matt Moran

MONDAY, APRIL 15 — More one-day records were set today — Futures on the CBOE Volatility Index® (VIX®) set an all-time single-day volume record of an estimated 449,955 contracts. CBOE Gold ETF Volatility Index (GVZ) futures contract traded a single-day record of an estimated 1,488 contracts. GVZ – CBOE Gold Volatility Index had an all-time […]

VXSLV Up 30% and GVZ Up a Record 39.4% on Friday – By Matt Moran

On Friday April 12th – The CBOE Gold ETF Volatility Index (GVZ) rose 6.03 points to close at 21.32. The 39.4% rise was an all-time record for a one-day % rise for the GVZ Index.  CBOE Gold ETF Volatility Index (GVZ) Security Futures now are offered for trading. The CBOE Silver ETF Volatility Index (VXSLV) […]

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