Tag Archives: VIX

Consumer Sentiment Index Hits Highest Level Since 2007 – By Matt Moran

May 17, 2013 — A report on Bloomberg news on Friday noted that —  “Consumer confidence rose in May to the highest level in almost six years as an advancing stock market and cheaper gas prices helped lift Americans’ outlook on the economy.   The Thomson Reuters/University of Michigan preliminary index of consumer sentiment rose to […]

SPX Tops Its First 100-Point Milestone in 13 Years – By Matt Moran

An interesting way to look at trends in the S&P 500® (SPXTM) Index is to look at the dates on which it first closed above its 100-point milestones. As shown in the table below, the SPX first closed above 200 in Nov. 1985, above 500 in March 1995, above 1000 in Feb. 1998, and above […]

Volatility Skewness Can Impact Hedging Costs – By Matt Moran

On Monday April 15th — the price of gold plunged 9.4% (its biggest daily drop in 30 years), the price of silver fell 11.3%, the CBOE Gold ETF Volatility Index (GVZ) rose 61.7% (a record one-day move), and new all-time records were established for daily trading volumes for VIX® futures, VIX options and GVZ futures.  […]

Record Daily Volume for GVZ and VIX Futures, as GVZ Jumps 61.7% – By Matt Moran

MONDAY, APRIL 15 — More one-day records were set today — Futures on the CBOE Volatility Index® (VIX®) set an all-time single-day volume record of an estimated 449,955 contracts. CBOE Gold ETF Volatility Index (GVZ) futures contract traded a single-day record of an estimated 1,488 contracts. GVZ – CBOE Gold Volatility Index had an all-time […]

VXSLV Up 30% and GVZ Up a Record 39.4% on Friday – By Matt Moran

On Friday April 12th – The CBOE Gold ETF Volatility Index (GVZ) rose 6.03 points to close at 21.32. The 39.4% rise was an all-time record for a one-day % rise for the GVZ Index.  CBOE Gold ETF Volatility Index (GVZ) Security Futures now are offered for trading. The CBOE Silver ETF Volatility Index (VXSLV) […]

Strong Options Volume Growth for Both SPX (Up 22%) and VIX (Up 48%) By Matt Moran

Both the S&P 500® (SPX) and the CBOE Volatility Index® (VIX®) index options experienced strong volume growth in the 1st quarter of 2013 compared with the 1st quarter of 2012 – SPX options average daily volume rose to 809,067 (up 22%) and VIX options average daily volume rose to 633,811 (up 48%). PUT/CALL RATIOS It […]

Total VIX Futures Volume Sets Record for 3rd Month in a Row By Matt Moran

A record 3,220,977 futures contracts on the CBOE Volatility Index® (VIX®) traded during March, exceeding the 3,062,344 contracts traded in February (the previous record) by five percent. March’s VIX futures volume rose by 64 percent when compared to the 1,963,893 contracts traded a year ago.  VIX futures have set all-time total volume records for three […]

All-time High Closing Values Today for VPD, VPN, and 6 Other Indexes By Matt Moran

March 28, 2013 – Below are the closing values and CBOE microwebsite addresses for eight indexes that hit their all-time daily closing highs today (the last trading day of the quarter) — 236.99                   VPD – CBOE VIX Premium Strategy Index            www.cboe.com/VPD 234.23                   VPN – CBOE Capped VIX Premium Strategy Index             www.cboe.com/VPN 158.11                   VXTH – CBOE VIX […]

European Vol Indexes (VSTOXX and VCAC) Up More Than 27% Since Mid-March By Matt Moran

MARCH 26, 2013 –Since the banking crisis in Cyprus began in mid-March, investors have asked – How nervous are the markets in Europe and worldwide? and – How can I manage my worldwide portfolio exposure? Investors now have more tools to track and manage worldwide volatility and portfolio exposure.  CBOE offers 20 indexes designed to […]

A study considering the advantages of tying a Variable Annuity fee to VIX

This paper explores the use of the CBOE Volatility Index® (VIX)® in setting the risk charge (“fee”) for a variable annuity (VA) product guarantee, and will demonstrate the potential advantages – both to variable annuity carriers and to policy holders – of calculating the fee as a function of VIX. This paper will analyze the use of […]

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