Despite all the bullish and bearish commentary the price of gold seems to be calming down a bit as the SPDR Gold Shares ETF (GLD – 125.11) is finding a home in the mid 120’s. The high low range was the narrowest it has been since six weeks ago. I’ll revisit this in just a […]
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 […]
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 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 […]
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 […]
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 […]
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. […]
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 […]
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 19, 2013
For the past few weeks VIX and VXN have been quoted in synch. In fact this past Wednesday morning July VIX settlement was 14.43 while the July VXN futures settlement value was 14.33 – only a 0.10 difference. The chart below shows the daily closing prices for VIX and VXN in 2013. Until 2013 […]
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