Tag Archives: VIX

Introducing the CBOE Low Volatility Index (LOVOL)

Nov. 29, 2012 – Today CBOE introduced the new CBOE Low Volatility IndexSM (ticker: LOVOL), a benchmark index designed for investors whose preferences have shifted from investing in riskier assets to lower-volatility assets. The LOVOL Index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a […]

Consumer Sentiment Index Reaches 5-Year High

A Bloomberg news story on Friday Nov. 9th noted – “Confidence among U.S. consumers climbed to a five-year high in November, improving the prospects of bigger spending gains that will help spur the expansion.  The Thomson Reuters/University of Michigan preliminary consumer sentiment index rose to 84.9, the fourth straight increase and the highest since July […]

SPX Options Volume Jumps to 1.15 Million Today

WED. NOV. 7 — Today, the day after the U.S. election, the trading volume for S&P 500® (SPX) options was a strong 1,153,017 contracts, the biggest volume day for SPX options since Sept. 14th.  For comparison purposes, the average daily volume for SPX options on the previous 8 trading days was 613,248. Today the S&P […]

Record Volume Month for VIX Futures

Nov. 1st – The CBOE Futures Exchange, LLC (CFE®) announced today that trading in futures on the CBOE Volatility Index® (VIX®) reached an all-time volume high for any month in its history. During October, a record 2,443,878 VIX futures contracts changed hands, beating the September record of 2,400,552 contracts. VIX futures average daily volume (ADV) […]

Trading VIX – Trade-off between Liquidity, Beta Exposure and Roll Cost

Besides commodities, volatility is another example of the application of futures-based indices. Spot volatility, as measured by the VIX, is not tradeable as the index represents the weighted average of implied volatilities of various options on the S&P 500. Prior to the introduction of VIX futures on the Chicago Board Options Exchange in 2004, equity […]

25 Years Ago, the VXO Index Topped 150

Twenty-five years ago, on October 19, 1987, the S&P 500 Index (SPX) fell by 20.5%, and the CBOE S&P 100 Volatility Index (VXO) rose by 313% to close at an all-time daily closing high of 150.19. Below are key values for seven trading days in October 1987 — VXO INDEX – 25 YEARS AGO – […]

VXAPL Index Up 97%, as Apple Puts Become More Expensive

October 5, 2012 – The CBOE Equity VIX® on Apple (VXAPL) has risen from an intraday low of 18.81 on August 13, 2012, to a closing value of 37.03 today, a rise of 97%. An October 4th Bloomberg news article by Cecile Vannucci and Nikolaj Gammeltoft notes that — “Apple Puts Jump to 10-Month High […]

OVX/VIX Ratio Rises Above 2.2

Sept. 27 – Investors can gain valuable insights into the relative costs of various options positions by comparing the values of key volatility indexes.  On Thursday the closing values for three volatility indexes were — 33.05             OVX – CBOE Crude Oil Volatility Index 17.07             VXV – CBOE S&P 500 3-Month Volatility Index 14.84             VIX® – […]

VXTH Index and Panel on Oct. 2nd

Three financial experts will discuss the topic ‘Options for Managing Risk and Yield in a Low Interest-rate Environment’ at a panel discussion to be held from 5:00 p.m. to 6:30 p.m. on Tuesday, October 2nd on the fourth floor of the Chicago Board Options Exchange (CBOE), 400 South LaSalle Street, Chicago. The three panelists will […]

Record VIX Option Volume

Yesterday – September 11, 2012 was a record day for VIX option trading with approximately 1.22 million contracts traded. This surpasses the previous record of 1.17 million contracts back on August 5, 2011. This also marks only the third time that VIX option volume has surpassed 1 million contracts. The other day this occurred was […]

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