Category Archives: Performance

Portfolio Protection Tools, As SPX Tops 1515 – By Matt Moran

This past Friday the S&P 500® Index (SPX) closed at 1517.93, and some investors are asking if now is the time to implement portfolio protection strategies.  Over the past decade the SPX Index had its highest daily close of 1565.15 on Oct. 9, 2007, and its lowest daily close of 676.53 on March 9, 2009. […]

VXAZN Index Fell a Record 37.5% Today

Jan. 30, 2013 – Today the CBOE Equity VIX® on Amazon (VXAZN) fell 37.5% – a record one-day fall in percentage terms for the index.  VXAZN is designed to measure the expected volatility of Amazon.com (AMZN) stock.   The data history for the VXAZN Index goes back to June 2010. A link to spreadsheets is at […]

Last Week’s VIX Action by Russell Rhoads, CFA

The S&P reached the 1500 level and then some this week.  The interesting action is that VIX and VVIX were higher as well.  It’s odd to have the weekly change for all the same color (red or green), but SPX, VIX, and VVIX were all green.   VIX held up in a higher S&P 500 market Friday which […]

VXAPL, VXIBM, VXGOG: 1-Day Falls of More Than 33%

This week earnings announcements were made after the close of regular stock trading by some key tech companies — IBM and Google on Jan. 22nd, and Apple on Jan. 23rd. Implied volatility indexes related to these stocks experienced big one-day drops the following days – CBOE Equity VIX® on IBM (VXIBM) had a record one-day […]

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 […]

Record 3-Week VIX Drop, and Diversification Ideas By Matt Moran

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 […]

Last Week’s VIX Action by Russell Rhoads, CFA

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 […]

What % Allocation to VIX Futures and Options for Portfolio Diversification?

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 […]

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 […]

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