Tag Archives: VXST

Volatility Indexes and ETPs Last Week – 11/22/2015

The shift for the VXST – VIX – VXV – VXMT curve was dramatic, but sort of what we have become use to in this buy on the dip culture.  VIX finished the week under 16.00, which voids a prediction that I had for the rest of the year.  I felt concerns about a December […]

Volatility Indexes and ETPs Last Week – 8/16/2015

Three out of four volatility indexes calculated using S&P 500 Index options to determine a consistent measure of implied volatility were lower last week. For all of 2015 the father dated volatility indexes have been elevated relative to VXST and VIX. We are now approaching a time where the potential for a rate hike is […]

Last Week in Volatility Indexes and ETPs – 7/19/2015

Last week VIX did what I guess it is supposed to do and moved to very low levels to reflect that we are in the summer doldrums.   VIX dropped in a way it usually rallies and was down 29% last week for the third biggest one week drop since 1990. VXST was down over 43% […]

Volatility Indexes and ETPs Last Week – June 29 – July 2

We had the most exciting market action during the holiday shortened week. As everyone knows we can thanks the cradle of civilization Greece for all the hub bub. On Monday the S&P 500 was down over 2% for the first time since October of last year. VIX reacted accordingly by rising over 34% on the […]

Last Week in Volatility Indexes and ETPs – 4/20/2015

Despite an ugly Friday both VXST and VIX remains pretty low relative to recent levels. I again included the 2014 average closing levels to the chart below. This inclusion isn’t so much about noting VIX is lower, but that VXV (3 month volatility) moved above the 2014 average and VXMT (6 month volatility) remains higher […]

Volatility Indexes and ETPs Last Week – 2/23 – 2/27

Last week was fairly quiet despite the second revision of GDP coming in a little light. We may see a little more volatility action in the coming week as on Wednesday the ADP Employment Change report is released Wednesday before the open and then the government version of the employment report coming on Friday. Both […]

Last Week in the Volatility Markets – 2/22/2015

Usually it is pretty easy for me to come up with something new to say regarding what went on the volatility markets last week. However, it has been a lot of the same for a pretty long time now. We have now experienced three all-time highs for the S&P 500 in 2015, which is three […]

Last Week in Volatility Markets – 2/8/2015

A big up week for the S&P 500 resulted in the VXST – VIX – VXV – VXMT term structure curve returning to contango after going into backwardation to end the previous week. This sort of action is wearing thin for guys on the floor. I was even pulled aside and told that there seems […]

Last Week in Volatility Indexes and ETPs – 1/25/2015

Last week was another roller coaster ride for the equity market and subsequently the volatility markets. The VXST – VIX – VXV – VXMT volatility curve shifted back into contango and shook off a mild market drop on Friday to stay that way. With VIX having a 16 handle, I am beginning to wonder if […]

Last Week in Volatility Indexes and ETPs – 1/18/2015

Despite Friday’s rally, the S&P 500 was down four of five days and gave up about 1.25% last week. At the worst point the S&P 500 was down over 3% on the week and then of course it shook off the dip and rallied to end the week. You can’t keep a good market down […]

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