Category Archives: Research

2017 Volume Rises for VIX and SPX Options, and for VIX Futures

Monday, May 8, 2017 – After the results of the French election were announced yesterday, this was a notable day in the options and volatility markets – The CBOE Volatility Index® (VIX®) fell 0.80 points and closed at 9.77 (it lowest daily close since December 1993); Bloomberg’s estimate of 30-trading day historic volatility for the […]

Portfolio Protection, Tail Risk and 11 Histograms

With U.S. stock market indexes recently hitting all-time highs, there is quite a bit investor uncertainty about the markets and there is high demand for protection from large market declines. One metric providing evidence of this high demand is the CBOE SKEW Index (SKEW). In the 27 years from 1990 through 2016, the average daily […]

Demand for Disaster Protection Increases as CBOE SKEW Index Hits a Six-Month High – By Matt Moran

JAN. 18, 2017 – Today the CBOE SKEW Index (SKEW) closed at 143.43, its highest value since June 2016. CBOE SKEW Index values, which are calculated from weighted strips of out-of-the-money S&P 500 options, rise to higher levels as investors become more fearful of a “black swan” event — an unexpected event of large magnitude […]

20 Volatility Indexes in 2016: BPVIX Rose 277% Pre-Brexit, and On Election Night VIX Futures Rose 55%

Dozens of worldwide volatility indexes can serve as valuable tools for investors who wish to gauge intraday and long-term sentiment changes related to a variety of asset classes. In addition, investors take long and short positions in futures and options on key volatility indexes. The tables and seven graphs below provide an overview of the […]

VVIX Index Spikes 21% on News of Investigation – By Matt Moran

OCT. 28 – On Friday afternoon a news story at wsj.com noted that – “Worries about a surprise election outcome resurfaced anew in financial markets on Friday afternoon after the Federal Bureau of Investigation uncovered new evidence in its investigation of Democratic presidential candidate Hillary Clinton‘s email server. … The news sent ripples through stocks, […]

Will VIX Futures Prices Move During the Sunday Night Debate? – By Matt Moran

OCTOBER 7. 2016 – On the night of September 26 a debate-record 84 million people tuned in to watch the first of three U.S. Presidential debates. During the debate there were movements in the prices of futures on the CBOE Volatility Index® (VIX®), S&P 500® futures, and the Mexican peso (see below for a chart […]

Records for VIX Futures and for SPXW Wednesday Expirations – by Matt Moran

Below are updates on (1) VIX futures, (2) SPXW Wednesday-Expiring Weekly options, and (3) the BPVIX Index. (1.) RECORD OPEN INTEREST. Futures on the CBOE Volatility Index® (VIX®), which launched in 2004, experienced some milestones regarding open interest in recent days – VIX futures open interest surpassed 500,000 for the first time on June 6; […]

BPVIX Hits Highest Level in 7 Years, So Let’s See the Skew and Term Structure for Listed Options

On Monday the CBOE/CME FX British Pound Volatility Index (BPVIX) closed at 22.59, its highest daily close since March 2009, and the BPVIX Index has risen 161.8% so far this year (through June 6). A number of news articles have noted that the implied volatility for British Pound has risen during the past month because […]

The 32nd Annual RMC and Key Indexes – VVIX, SKEW, VIX, SPX, OVX, and WPUT – By Matt Moran

On February 29 – March 2 I attended the 32nd Annual CBOE Risk Management Conference  at the Hyatt Regency in Bonita Springs, Florida, and I was pleased to view several presentations by excellent speakers, including keynotes by Leo de Bever, PhD, Former CEO, Alberta Investment Management Corp., and by Jim VandeHei, Co-Founder, President, and CEO […]

VIX Weekly Futures Prices Rose 42% in First Week of 2016 – By Matt Moran

The first week of 2016 was a challenging one for many financial markets worldwide, as (1) It was the worst opening week of the year in history for both the S&P 500® (SPX) and the Dow Jones Industrial Average, (2) The Shenzhen Composite Index of Chinese stocks fell 14.2%, (3) Crude oil futures (Feb. WTI) […]

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