The CBOE Volatility Index® (VIX®) rose 49.3% on June 24, after the results of the Brexit referendum were announced. The VIX Index is a key measure of market expectations of near-term volatility conveyed by S&P 500® stock index option prices. FUTURES ON THE VIX INDEX On June 24 the CBOE Futures Exchange, LLC (CFE®) announced […]
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 […]
The S&P 500 rebounded by about 1.4% last week and SPX option volatility moved a bit lower. The VXST – VIX – VXV – VXMT curve shifted lower and flattened. However for a bit of perspective I show where we ended 2015. I think the comparison is a good indication that we may not be […]
In an interesting twist VIX was the underperforming index across the VXST – VIX – VXV – VXMT curve rising only 0.01 last week. It is unusual for VIX to be an outlier like this, but even more so when we experience a three day weekend which one would expect to put some pressure on […]
In a December 8 Bloomberg news report – “Who’s the Bear Driving Up the Price of U.S. Stock Options?” – Joseph Ciolli wrote – “For more than a year, dealers in the U.S. equity derivatives market have noted a widening gap in the price of certain options. If you want to buy a put to […]
Very quiet holiday week. There really isn’t much else to say, but it is interesting that VIX remains over 15.00. I’m also attributing the rise in VXST to getting a holiday shortened week behind us. Man I’m glad it’s not my job to fill up a business network with programming which must have been a […]
This month I am planning to travel to the First Annual CBOE Risk Management Conference (RMC) Asia, which will be held on November 30 – December 1 at the JW Marriott Hotel, Pacific Place, 88 Queensway, Hong Kong. In my preparations for the trip, I am analyzing the skew charts for a number of option […]
A recent Bloomberg story noted — “The S&P 500 drifted to an all-time high on May 21, before the Greece crisis overshadowed signs that a first-quarter slowdown in economic growth would prove transitory. The benchmark index tumbled 2.1 percent Monday, the most since April 2014 and erasing gains for the year, as Greece surprised investors […]
There was a slight shift in the VXST – VIX – VXV – VXMT term structure last week. VXST and VIX were down, VXV was actually up slightly and VXMT dropped. Relative to history, VXV and VXMT are higher than you would expect with the S&P 500 making all-time highs. I’m convinced the market is […]
Weekend Review – Volatility Indexes and ETPs – 7/3/2016
In hindsight volatility definitely overshot to the upside in response to Brexit and the price action on Monday where VIX and the S&P 500 both moved lower together was a sign of things to come last week. The 42.66% drop in VIX was the biggest week over week drop on record (going back to 1990). […]
Futures and Options, Performance, VIX, Volatility
SVXY, UVXY, VIX, VVIX, VXMT, VXST, VXV, VXX