Category Archives: Volatility

VEQTOR & Other Volatility Reduction Indices

Today I’m going to discuss three prepacked investment solutions that seek positive exposure to the equity market with different volatility reduction approaches: S&P 500 Low Volatility Index: uses stock selection and alternative weighting to minimize portfolio volatility without the use of derivatives or active hedge. PowerShares has issued an ETF (ticker SPLV) that tracks this […]

CBOE / Bloomberg: Equity Index Option and Volatility Trading Symposium – Wednesday, Feb. 1

CBOE & Bloomberg present the 3rd Annual Equity Index Option and Volatility Symposium on quantitative strategies, market trends and the outlook for volatility in 2012. When: Wednesday, February 1, 2012, 3:00-7:00pm Where: Bloomberg. 731 Lexington Avenue, New York, NY 10022 To register email naseminar@bloomberg.net, with “2.1 CBOE” in the subject line or see “BU ” […]

Exchange Traded Volatility Products in Europe

In Europe, ETFs and ETNs linked to the S&P 500 VIX Futures Indices and the VSTOXX Futures Indices collectively have nearly $380 million in assets ), as listed in Exhibit 1 (note: volume is the average daily volume in December 2011). Exhibit 1: Exchange Traded Volatility Products in Europe (Dec. 2011) Compared with the S&P […]

Why Are There Different Prices for VIX® Spot and VIX Futures?

Investors often inquire as to why the prices and the price movements for the VIX (spot) Index and the VIX tradable instruments (futures, options, and ETPs) often are different. For example, yesterday (Tuesday, January 17th) the VIX spot closed at 22.20 and the VIX March futures closed at 25.55 (delayed price quotes are available at […]

VXEEM Futures – 1,106 Trading Volume on the 3rd Day of Trading

Trading volume for security futures on the CBOE Emerging Markets ETF Volatility Index (VXEEM; futures ticker VXEM) was 1,106 contracts on January 11th, (the third day of trading).   In contrast, the trading volume for VIX® futures was 191 contracts on March 30, 2004, its 3rd day of trading.  In addition, options on the VXEEM Index […]

Diversification Properties of VIX Futures Indices

As in the VIX index spot, the S&P 500 VIX Futures Index Series and the S&P 500 tend to move in opposite directions or.  As shown in Exhibit 1, while the correlation between the spot VIX and the futures index series is not perfect, it is a healthy 89% for the short-term index and 80% […]

Volatility Benchmarks in Europe

In Europe, regional volatility indices have been developed and published to measure the implied volatility in local markets. VSTOXX, VDAX-NEW, VFTSE follow the CBOE VIX methodology and have become the investor fear gauge in the Europe, German and UK markets. Exhibit 1 shows that these indices are highly correlated. Since Jan. 2000, VSTOXX have been […]

First Day of the Year Typically More Volatile

The 1.55% gain opening day marked the 29th time that the year’s opening day changed at least a 1% (17 up at least 1%, 20.2%, and 12 down at least 1%, 14.3%) in the last 84 years (since 1929, including today), a 34.5% rate.  The high 34.5% rate compares to the 23.9% historical rate of 1% […]

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