Tag Archives: VIX

Weekend Review – VIX Options and Futures – 2/19/2017

We’ve experienced several twists in the volatility markets this year where the futures don’t move in sync or in line with spot VIX.  This occurred again last week as VIX rose almost 6% while the futures markets moved lower.  Part of this may be attributed to February going off the board, at least with respect […]

Weekend Review Volatility Indexes and ETPs 2/19/2017

VXST and VIX managed gains last week while the longer dated volatility indexes (VXV and VXMT) both lost value.  The curve created by charting out VXST, VIX, VXV, and VXMT has been steep for most of 2017 as the shorter dated indexes have been at very low levels.  The price action last week narrowed the […]

Block Trade – 1 x 4 VIX Call Spread

I’m on the road today playing an academic, but regardless of how far I am from CBOE I still am fortunate that I’m constantly keep in the loop about big trades.  I got a heads up this morning that a VIX Mar 15 – 22 1 x 4 Call spread traded in the VIX pit […]

VIX and 3 Day Weekends

Another three-day weekend is sneaking up on us.  The result for those of us that have an unhealthy obsession with VIX is to talk about how a three-day weekend provides a headwind for VIX performance.  It has been awhile since I looked at the impact of holiday weekends so I downloaded data and got to […]

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 […]

Finding Volatility in the US Markets

VIX is low, we all know VIX is low.  I type that and feel I need to stop channeling Dr. Seuss. However, there are some pockets of volatility in the US equity markets, we just need to know where to look.  Since CBOE quotes several volatility indexes that are based on the US markets I […]

Weekend Review – Volatility Indexes and ETPs – 2/5/2017

VXST dropped while the other three volatility indexes based on S&P 500 index option pricing rose slightly.  This all happened despite a rise in the S&P 500 last week. Probably the most notable thing on the table below is the rise in VVIX despite the stock market and VIX not doing much last week. Focusing […]

Weekend Review – VIX Futures and Options – 2/5/2017

VIX rose slightly last week while all standard futures contracts lost value.  February settlement is a week and a half off so the longer VIX remains in the 10’s the more drift lower we should expect out of the front month future. As the front month starts to approach settlement date, VIX option traders start […]

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 […]

Weekend Review – Volatility Indexes and ETPs – 1/15/2017

There are two lines below although it may appear that there is only a purple line for parts of the VXST – VIX – VXV – VXMT curve.  In a round about way I’m saying not a lot happened in the world of S&P 500 option volatility last week. What really stands out on the […]

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