Tag Archives: VXST

Volatility Curve Action Over the Last Two Days

I go on vacation for two days and believe the government was going to have everything worked out when I returned.  It appears things are still uncertain and the introduction of the Short-term VIX (VXST – 23.54) has proven to be very timely.  Although introducing a new volatility index in early October is usually a […]

Last Week in VIX Options and ETNs – October 13, 2013

The difference from Friday to Friday does not do justice to the week we just experienced in the world of volatility trading.   A prime example was the action in VVIX.  VVIX managed to top 120.00 during the day on Wednesday.  This is a price level not seen for the VIX of VIX since August 2011.  […]

VIX Futures and VXST – VIX – VXV Curves Both in Backwardation – 10/7/2013

VIX and VIX Futures reacted as expected based on today’s 14 plus point drop in the S&P 500.   The near end of the VIX Futures curve went into backwardation with VIX closing at 19.41, the October contract closed at 18.50 and the next two months at lower levels as well.  There hasn’t been too much […]

Last Week in VIX Options and ETNs – October 6, 2013

The S&P 500 bounced off the 50 day moving average and the volatility market reacted with a drop into the 16’s on Friday after testing higher levels on Thursday.  The iPath S&P 500 VIX Short Term Futures ETN (VXX – 15.06) had a pretty good week and tracked the VIX performance closer than it has […]

Comparing VXST (9-day), VIX (30-day) and VXV (93-day) Indexes, and Term Structure – By Matt Moran

On October 1 the new CBOE S&P 500 Short-Term Volatility Index (VXST) was introduced at the second annual CBOE Risk Management Conference Europe. VXST is first-ever volatility gauge that includes the expected volatility of the popular SPX Weeklys options. To gain an understanding of investors’ consensus views of expected stock market volatility over different time […]

CBOE Introduces New Short-Term Volatility Index

Ed Tilly, the Chief Executive Officer of CBOE Holdings Inc, announced the introduction of the CBOE S&P 500 Short-Term Volatility Index (Ticker – VXST) today at the CBOE Risk Management Conference in Portugal.   The short term volatility index is a compliment to the industry standard CBOE Volatility Index (VIX).  While VIX is a measure of […]

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