VIX Last Week – 11/29/2015

The S&P 500 was hardly changed on the week last week and the same may be said for VIX and the monthly term structure.  The lines don’t overlap, but if I am not wearing my reading glasses the chart below almost looks like the same line.

VIX Table

The only thing of interest to report about the short term futures chart is the dip that shows up on the orange line below.  That’s the contract that expires just before Christmas which may be discounting several holidays which will figure into implied volatility of SPX options expiring after three market holidays.  We always would witness a little discount in the traditional December contract and now it is showing up in the Weeklys as well.  Note that this is a generic chart and last week (the black line) this contract was Week 5.  It’ll be interesting to watch it move across the chart from week to week.

VIX ST Curve Table

One trader is betting that no black swans show up over the next few weeks.  On Friday there was a seller of the VIX Dec 26.00 Calls at 0.22 who purchased (for protection?) the VIX Dec 37.50 Calls at 0.04 for a net credit of 0.18.  All is well with this trade as long as standard VIX settlement is not over 26.18.  Things get pretty ugly if VIX returns to the upper 30’s for the holidays though.


Volatility Indexes and ETPs Last Week – 11/29/2015

Very quiet holiday week.  There really isn’t much else to say, but it is interesting that VIX remains over 15.00.  I’m also attributing the rise in VXST to getting a holiday shortened week behind us.  Man I’m glad it’s not my job to fill up a business network with programming which must have been a […]

VIX Last Week – 11/22/2015

The VIX term structure returned to normal from slight backwardation last week as the S&P 500 rose over 3%.  Two years ago a 3% move in the S&P 500 probably would have resulted in VIX under 12.00, but these are different times and with a rate hike looming down to the mid 15’s is the […]

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 […]

Block Trades Using VIX Weeklys

Tomorrow is November VIX settlement, but that hasn’t stopped some short term VIX traders from putting on new positions, in fact it may have encouraged them to do some trading. I ventured down to the trader floor late today to see what may be going on in the VIX Weeklys options set to settle on […]

VIX Last Week – 11/15/2015

VIX managed a finish over 20 as Friday’s market action raised the level of concern among market participants.  You have to wonder if Friday August 21st and the follow through on the 24th is still fresh in trader’s minds. The short term curve flattened out which seems to be the norm when VIX move higher, […]

Volatility Indexes and ETPs Last Week – 11/15/2015

The S&P 500 took a dive last week in what turned out to be the second worst weekly performance of 2015.  As of Friday the S&P 500 is down 1.7% for the year which would be the first noticeable loss (2011 was down less than 0.01%) since 2008.  The four volatility indexes that use S&P […]

Skew Charts to Prepare for CBOE Conference in Hong Kong – By Matt Moran

This month I am planning to travel to the First Annual CBOE Risk Management Conference (RMC) Asia, which will be held on November 30 – December 1 at the JW Marriott Hotel, Pacific Place, 88 Queensway, Hong Kong. In my preparations for the trip, I am analyzing the skew charts for a number of option […]

VIX Last Week – 11/8/2015

VIX finished the week closer to 14 than 15 based on a muted response to the employment number and a lack of known potential volatility events on the horizon.  The fear index did manage to spend a little time on Monday and Tuesday under 14.00 which is a level that many consider the new ‘floor’ […]

Volatility Indexes and ETPs Last Week – 11/8/2015

The S&P 500 quietly rose just under 1% last week and VIX worked lower.  Across the board S&P 500 focused volatility indexes dropped with the possibility that any threat of increased volatility in the markets has been pushed out to 2016.  Of course back in August those same indexes dropped as the economic calendar was […]


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