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 […]
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- Russell Rhoads, CFA on Weekend Review – Volatility Indexes and ETPs – 6/12/2016
- Simon Lee on Weekend Review – Volatility Indexes and ETPs – 6/12/2016
- Russell Rhoads, CFA on Weekend Review – VIX Options and Futures – 3/6/2016
- Jim Carroll on Weekend Review – VIX Options and Futures – 3/6/2016
- Russell Rhoads, CFA on Last Week in VIX – 1/25/2015
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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