Category Archives: Volatility

Weekend Review of Volatility Indexes and ETPs – 10/29/2017

Of the four volatility indexes based on SPX option pricing, only VIX was lower last week.  This is the second week where the longer dated indexes (VIX3M and VXMT) rose while VIX was lower. Despite VIX dropping the long ETPs gained ground last week.  This is a great lesson in what these products give you, […]

Weekend Review of Volatility Indexes and ETPs – 10/22/2017

The short term volatility indexes (VXST and VIX) were up a bit last week as the S&P 500 set multiple all-time closing record highs last week.  VIX3M (formerly VXV) and VXMT were both up slightly resulting the rare ‘term-structure twist’.  It’s really not that rare, I just had a nature documentary voice in my head […]

Strong Growth for Key Cboe Index Products in 2017

An October 17 press release introduced a new name , “Cboe Global Markets, Inc. … identity and mission at the Futures Industry Association (FIA) Expo 2017 conference, currently taking place in Chicago.  The changes were made to better reflect the evolving nature and spirit of the company and follows the acquisition of Bats Global Markets […]

Weekend Review of VIX Futures and Options – 10/15/2017

On a week over week basis VIX hardly budged, but we did have a couple of days with closes over 10.00 both Monday and Tuesday.  In fact, we would have had a double digit VIX highs each day if it weren’t for Friday’s price action falling short by 0.02.  The curve moved lower than VIX […]

Weekend Review of Volatility Indexes and ETPs – 10/15/2017

There are lots of articles floating around discussing the lack of volatility in the markets along with the low level of VIX.  It’s reaching a point where we don’t have much else to say and are just waiting for a change of scenery.  With all that going on, the four volatility indexes based on SPX […]

Four Facts to Help Address the Issue – Is the VIX “Low” This Year?

In the past year a number of news reporters and others have asked if the CBOE Volatility Index® (VIX®) was at an unusually “low” level in light of all the worldwide geopolitical uncertainties. The average daily closing levels for the VIX Index are 19.4 since January 1990, but only 12.8 since June 2016. At the […]

Weekend Review – VIX Options and Futures – 10/8/2017

Despite closing at an all-time low on Thursday and the S&P 500 gaining over 1% last week, VIX was slightly higher when the dust settled Friday.  The same cannot be said for the VIX futures curve where all contracts lost value last week.  It should be noted that despite the low level (or because of […]

Large Buyer of VIX Calls Today at CBOE

Another big bullish VIX trade came into the pit today, with VIX just over 10.00 and the October futures at 12.20, a buyer of about 100,000 VIX Oct 17 Calls came into the market paying 0.45 for the whole lot.  The trade got divided up around the pit in several pieces, which shows up in […]

New Daily Volume Record of 2.61 Million for VIX Options, as Investors Engage in Hedging and in Short VIX Futures

On September 25th a new daily volume record of 2.61 million contracts was set for options on the CBOE Volatility Index® (VIX®), as the VIX Index rose 6.5% to close at 10.21 that day. TOP TEN VOLUME DAYS FOR VIX OPTIONS Four of the top ten days for VIX options volume occurred in 2017. NEWS […]

Record Days for VIX Futures and Options Volume and Open Interest This Month

Despite the fact that the average daily closing value of the CBOE Volatility Index® (VIX®) is about 11.5 so far this year, VIX futures and options both had record days for volume and for open interest this month. OPEN INTEREST RECORDS. VIX futures hit a new record for open interest with more than 673,000 contracts on […]

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