Tag Archives: VIX

Video: CBOE Volatility Index – Fact & Fiction Part 2

Watch Part 2 of CBOE’s Fact & Fiction five part educational series, where Jamie Tyrrell of Group One Trading discusses the VIX, whether it indicates fear or uncertainty and what it means when the VIX “heads down.”

Managing Brazilian Volatility with Futures and Options on the VXEWZ Index

Over the next five years, some projections indicate that the annual GDP of Brazil could surpass that of both France and the United Kingdom, and that Brazil could rise to become the fifth largest economy in the world. More investors now are concerned with the issue of managing Brazilian volatility. Today CBOE Holdings announced today […]

Is Crude Oil More Volatile Than Stocks? Check Out the OVX Index

In recent years I often have heard the following questions: Are there other indexes that use the VIX® methodology to create implied volatility indexes for options on other asset classes and other stock indexes? How does the volatility of the S&P 500® Index compare to the volatility of other asset classes? The answer to question […]

The Relationship of the VIX Index and the Monthly Gross Premiums Generated by the BXM Index; Introducing the “Rule of 10”

Some investors who are new to options have asked these questions: How can I determine how much premium will be generated by a covered call strategy? Is a high VIX level related to high option premiums? If VIX is at a high level, does that mean that a covered call strategy will perform well? Many […]

The Other Side of VIX

The last three months saw the VIX spot dropped quickly from 30-ish to 10-ish. No wonder XIV, the inverse ETN to the S&P 500 VIX Short-Term Futures Index, was among the top performing ETPs in January. Its return was 30.88% in January 2012 and 14.02% in December 2011. S&P Indices General Disclaimer XIV collects daily […]

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 […]

VIX Futures and the Hedging of Bond Portfolios

Equity volatility, as replicated by widely traded ETFs and ETNs linked to the S&P 500® VIX® Futures Index Series, is frequently used to hedge equity portfolios. But is it appropriate for bond portfolios? The bond market is broad and diverse, ranging from low-risk government bonds to relatively high-risk high-yield corporate bonds and emerging market bonds. […]

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 […]

VIX ETPs Demystified – December 2011

Just like most humans (monozygotic twins excluded) are not created equals, most VIX futures based exchange-traded products (ETPs) are not equal (At the time of writing this post, there were 43 primary listed ETPs). While there are a number of distinctions and I will attempt to highlight the key areas, but first the few common […]

An Introduction to VIX

Volatility has emerged as an important asset class in its own right over the past decade. Book-ended by two equity bear markets, the past decade (2000 – 2010) saw heightened financial stresses and large losses in investment portfolios. The investment community’s need for tools and instruments to protect downside risks had never been more acutely […]

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