Tag Archives: VIX

Low-cost Protection — One Year After VIX Peak

AUG. 9, 2012 — A year ago, on August 8, 2011, the CBOE Volatility Index® (VIX®) closed at 48.00, its highest closing value since March 9, 2009. Yesterday, on August 8, 2012, the VIX closed at 15.32 (a level that was 68% lower than the year-earlier level). Yesterday Reuters published an article is entitled “Time […]

VIX Up 12.6%, as 20 Vol Indexes Rose Today

Monday, July 23 — While many stock indexes plunged today, twenty of CBOE’s volatility indexes rose.  Visit www.cboe.com/volatility to see a list of indexes with updated delayed quotes. Here is a list of percentage changes for some volatility indexes on July 23 – 12.6%       VIX® – CBOE Volatility Index®  www.cboe.com/VIX 6.3%         VVIX – CBOE VIX […]

TABB – Buy-side is Expanding Use of VIX-related Options

TABB Group recently issued a buy-side trading study, “US Options Trading 2012: Standing Out in the Crowd,” written by Mr. Andy Nybo. For this year’s 39-page study, TABB noted that it spoke with 54 US-based asset managers, hedge funds and proprietary trading firms, which as a group, manage an aggregate $2.7 trillion in assets under […]

VIX Futures Volume is Up 67% This Year

Average daily volume for futures on the CBOE Volatility Index® (VIX®) rose in the first half of this year to 79,586 (67% higher than the average daily volume in the year 2011).  www.cboe.com/VIX   VIX OPTIONS  Average daily volume for VIX options was 428,220 in the first half of 2012.   NEW FUTURES ON THE […]

Is Volatility of Volatility Unusually High?

After reading news reports the past few weeks about the Eurozone crisis, one might get the impression that the volatility of volatility is unusually high.   A key measure of volatility of volatility is the CBOE VIX of VIX Index (ticker VVIX, www.cboe.com/VVIX ) which is designed to measure the expected future volatility of the CBOE Volatility […]

The VIX Term Structure and Launch of SPX Extended Weekly

Investors often are interested in risk management and volatility expectations over different time periods.   Below is an overview of the VIX term structure, and an update on the launch of SPX Extended Weekly options. 1. VIX TERM STRUCTURE The VIX® term structure illustrates, by maturity, expectations of market volatility conveyed by S&P 500 (SPX) stock […]

Performance of Selected Tradable Volatility Indices: May 2012

May 2012 was a restless month in the US equity market. The S&P 500 Index declined 6% and VIX rose 40% from 17.15 (4/30/2012) to 24.06 (5/31/2012). The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index rose 28.71% and 13.13%, respectively. The S&P 500 Dynamic VIX Futures […]

Several Volatility Indexes Rose More Than 35% Last Month

Several volatility indexes (including VXGOG, VIX, OVX, VXN, VXEEM, and GVZ) rose more than 35% last month www.cboe.com/volatility The S&P 500 Index (TR) declined by 6% in May. The BXM and PUT Indexes took in premium that helped cushion their downside moves in May. www.cboe.com/benchmarks * Please note that indexes are not directly investable. Options […]

VIX-related Instruments to be Discussed at Three Events in New York

Next week VIX-related benchmark indexes and investable instruments will be discussed at three events in New York: Tuesday, April 24th – NY QWAFAFEW event begins at 5:30 p.m. at 40 E. 43rd St. 6:20 p.m. presentation on “Tail Risk Management, The VIX®, and Benchmark Indexes” http://bit.ly/NY-Qwa-VIX Wednesday, April 25th – Capital Link Forum begins at […]

Reaping Roll Yield from a Quasi Volatility Neutral Strategy

On February 8th, I discussed the use of the inverse VIX ETP (XIV) to collect the roll yield from the VIX futures. When stocks fall and volatility rises, however, such a naked short position drops drastically. From 4/2 to 4/10, XIV dropped from 12.29 to 9.94, and lost 19% of its value (it’s now back […]

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