VXEWZ Index at All-time High of 72.83 As Brazilian Election Nears – By Matt Moran

Oct. 20, 2014 – Today’s closing price was an all-time daily closing high of 72.83 for the CBOE Brazil ETF Volatility Index (VXEWZ), which reflects the implied volatility of the EWZ ETF.

VXEWZ & VXEEM Oct 19

Futures and options on the VXEWZ Index provide investors with tools to manage exposure to Brazil, the EWZ ETF, and related volatility.

A story today at wsj.com provided these comments about the upcoming election in Brazil —

“President Dilma Rousseff of the leftist Workers Party, or PT, is the preferred candidate of millions of Brazilians who’ve been lifted from poverty thanks to the PT’s social programs. Challenging the incumbent is Aécio Neves, whose Brazilian Social Democracy Party in the 1990s killed hyperinflation and privatized large swaths of the economy. Mr. Neves has pledged to use more austere economic policies to tame Brazil’s sticky inflation and jump-start growth after the nation fell into recession this year. The two are basically tied in the polls just six days ahead of the Oct. 26 vote … “

A story at ETFtrends.com noted that –

“ ‘Weakening foreign demand and a severe, double-digit contraction of business fixed investment may have plunged the Brazilian economy into a technical recession,’ said S&P Capital IQ in a recent research note. The inflation dimension of Brazil’s economic troubles remains particularly thorny …”

The EWZ ETF charts below show a 5-year price chart, and a change in the volatility skew for EWZ this month.

EWZEWZ vol skew

For more information on managing volatility and the 26 volatility indexes at CBOE, please visit www.cboe.com/volatility.

VIX Last Week – October 19, 2014

At the worst point last week the S&P 500 was down 9.5% from the closing high of 2011.36 on September 18th and down about 4.5% from last Friday’s close. By Friday we came back to less frightening levels and closed the week down 6.2% from the all time closing high and down 1% on the […]

Gold and Oil Volatility Last Week – October 19, 2014

Commodity related implied volatility tends to react to a break of support or resistance through an upside move. Often implied volatility will drop when a commodity is stuck in a range or a test of support or resistance holds. We actually have a case of both going on right now. I’ll start with support holding […]

Emerging Market Volatility Last Week – October 19, 2014

Both EEM and EWZ moved higher last week, despite the drop in the S&P 500. Also, the respective volatility indexes moved up based on an increase in global equity risk perceptions. I’ll start here with the duller of the two and talk about VXEEM. EEM rose just over .5% and VXEEM was up over 10% […]

Short Term Volatility Last Week – October 19, 2014

The CBOE Short-Term Volatility Index was introduced less than a year ago and since then there have not really been any headline grabbing moves in the volatility space. That was until last week where the high range for VXST stretched from close to 20 up to almost 40. The closing VXST level on Wednesday was […]

NDX and RUT Volatility Last Week – October 19, 2014

The CBOE Russell 2000 Volatility Index (RVX) climbed over 30.00 during the day Thursday for the first time since June 2012. For the week RVX finished at 25.48, up 4.64% while the underlying market was up 2.75% for the week. Yes you read that right, the Russell 2000 was up 2.75% last week which was […]

Volatility Indexes and ETPs Last Week – October 19, 2014

I hate being a broken record in this space, but the week over week changes do not do any justice to what was last week in the equity and volatility markets. I threw the closing curve from Wednesday in the mix below when VXST closed at the highest level since December 2011.  On Monday VVIX […]

Some Volatility Trades that Worked Well in Last Week’s Action

VIX is much higher than it was early last week.  So are VXX and RVX.  Also, the S&P 500 and SVXY are both lower.  Anyone can tell you that, so I decided to do some digging and find some timely trades from last Tuesday and Wednesday (or beyond) when the idea of VIX in the […]

VIX Index Rises 73% As New Volume Records Are Set – By Matt Moran

Oct. 15, 2014 — The S&P 500® (SPX) Index declined by 5.4% and the VXST Index rose 113.3%. over the past week, and many investors are looking for havens to help protect their portfolios from left tail risk. . RECORD VOLUME TODAY Since early this month, there have been dramatic increases in trading volume in […]

The VIX is at a crossroads – mind the gap.

As you, dear patient reader, have no doubt noticed, volatility is back. The VIX® has reached levels not seen since the peak of the Eurozone crisis over two years ago. The exact reasons might be debatable, but either way October is living up to its perennial reputation as the cruelest month for equities. Source: CBOE Each time […]

  • CATEGORIES

  • Recent Comments

  • Tags