Category Archives: Volatility

Weekend Review – VIX Options and Futures – 5/14/2017

VIX was slightly lower on the week despite the S&P 500 dropping as well.  The near dated futures worked lower with May finishing Friday at premium of just over 0.80 as that contract goes off the board this coming week.  From August and beyond the futures were actually higher which creates a pretty steep curve […]

Weekend Review of Volatility Indexes and ETPs – 5/14/2017

This time last week we were all pretty certain that the final round of the French election was a done deal.  Short term SPX implied volatility wasn’t taking any chances with VXST closing last Friday at 11.40.  With the election outcome going as expected VXST got a little crushed and the shape of the VXST […]

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 […]

Weekend Review – VIX Futures and Options – 4/2/2017

The Friday to Friday change in the VIX term structure was as orderly as I’ve seen it in some time. VIX has had a lower average daily close during a quarter only once, the fourth quarter of 2006.  However, the low to high range for VIX has never been tighter than what we experienced in […]

Weekend Review – Volatility Indexes and ETPs – 4/2/2017

The shift lower in the VXST – VIX – VXV – VXMT curve was 75% parallel and 25% dramatic.  The dramatic move was at the shorter end of the curve where VXST dropped 28% moving from a premium to discount relative to VIX. As noted volatility was lower across the board.  Of interest below, VVIX […]

Weekend Review – VIX Options and Futures – 3/5/2017

The week over week change for VIX and the futures doesn’t tell the whole story last week. Despite falling on a week over week basis, VIX did show some life closing on Tuesday at 12.92 before retreating to close under 11.00 for the week. I’m going to add something to this space for the next […]

Weekend Review – Volatility Indexes and ETPs – 2/26/2017

VIX was the only S&P 500 related volatility index that lost value last week.  VXST rose, probably getting a boost from coming off a long weekend.  The longer dated volatility indexes mirrored the action in longer dated VIX futures by moving to the upside.  April seems to be the next month of concern among volatility […]

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 […]

Weekend Review – VIX Options and Futures – 1/15/2017

Last week VIX managed to finish the day below the 2016 closing low (11.27) twice.  If it were only Friday’s close I’d throw an asterisk in there for the three-day weekend effect, but there’s no holiday excuse for the Wednesday close of 11.26. This past week they (whoever ‘they’ are) couldn’t get enough of February […]

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