Tag Archives: VXV

Volatility History Lesson – The 2012 Election

I’ve been getting lots of questions with respect to how volatility acts around US elections.  We don’t have a lot of history to work with, but we do have data on how the four volatility indexes based on SPX option trading did four years ago.  I did a little digging and reconstructed the VXST – […]

Weekend Review – Volatility Indexes and ETPs – 7/3/2016

In hindsight volatility definitely overshot to the upside in response to Brexit and the price action on Monday where VIX and the S&P 500 both moved lower together was a sign of things to come last week. The 42.66% drop in VIX was the biggest week over week drop on record (going back to 1990). […]

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 VIX – 12/21/2014

The first chart in this blog is a bit out of place. I normally discuss the VXST – VIX – VXV – VXMT term structure in the space where we review volatility index and ETP trading. However, after I completed that blog I considered taking a look at where we closed Friday versus the average […]

Gauges for Tools for Portfolio Protection – VIX, SPX, SKEW, and Term Structure – By Matt Moran

Nov. 17, 2014 – When I deliver presentations on portfolio risk management to groups of financial professionals, one of the most frequent questions is “What is a better hedge for a portfolio – VIX calls or SPX puts?” A 30-page paper by Morgan Stanley in June 2014 suggested that “VIX calls are best used to […]

VIX Action Today – 7/31/2014

Today was a heck of a day in the equity markets. We got our biggest on day S&P 500 drop in a few months and the first down month for the S&P 500 since January (I bet you forgot the January Effect indicator was bearish for 2014 – I admit I did). The result was […]

Last Week in VIX Options and ETPs – 1/26/2014

What a difference a week can make in the volatility world.  The CBOE Short-Term Volatility Index (VXST – 20.84) rose over 80% while the CBOE Volatility Index (VIX – 18.14) was up a paltry (insert sarcasm) 45% last week.  That’s what a couple of triple digit down days for the Dow Jones Industrial Average will […]

Last Week in VIX Options and ETPs – 11/10/2013

Thursday the S&P 500 managed to wake everyone up for their end of 2013 complacency with a 1.3% drop.  Of course this year any sort of drop has been a buying opportunity and traders have been trained this year to have a Pavlovian reaction to sell offs.  This reaction is to hit the buy button […]

VXST Short-term Volatility Index Fell 47% Since Oct 15 – By Matt Moran

October 23 — Earlier this month there was quite a bit of worldwide apprehension over the wrangling in Washington D.C. regarding the partial government shutdown and possible U.S. debt default. Contentious governmental negotiations could resume in January 2014.   How have investors’ expectations about near-term and medium-term volatility changed over the past couple of weeks?  […]

Checking in on the VIX / VXV Ratio

This morning I participated in a chat on Reuters Global Markets Forum where I fielded several very good questions about VIX and the volatility market in general.  Doris Frankel from Reuters asked me to take a look at the ratio of 30-day to 93-day implied volatility as indicated by the CBOE Volatility Index (VIX) divided […]

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