VIX Last Week – 7/20/2014

What a day VIX had last week. We got a 32% plus move in VIX and the second highest VIX futures volume ever. And then we returned to the new normal of VIX being a pre-teen. When VIX moves to the upper teens and stays there it is going to be a rude awakening for those that do not realize VIX can (and will again…someday) stay at elevate levels. For now the standard seems to be any move higher is followed by a quick move lower.



July VIX futures and options expired on the open Wednesday with settlement coming in at the lowest level since February 2007 when settlement was 9.95. July VIX settlement was 11.03. I do want to use the February 2007 settlement as a history lesson. Six months later August 2007 VIX futures and options settlement was 25.05. This after a 9.95 was the settlement value just six months earlier. I may be doing a Chicken Little dance as I throw these things out there, but I really do want traders to realize that the VIX environment can change very very quickly.

I’ve probably beaten the phrase that the week over week price changes for VIX do not tell the whole story of last week, but they don’t.  August futures closing at less than a point premium to VIX on Friday with over a month to August settlement (8/20) may be the most complacent thing I have witnessed in the volatility markets.  Note that too much complacency is considered bearish for stock prices by many market pundits.


Finally, Steven Sears gave a lot of attention to VIX in Barron’s this weekend (actually his whole column). He noted that there were buyers of a wide variety of August VIX calls this past week and even some traders looking out as far as October for tail risk protection (or benefit).  So the futures say complacent, but the traders are still focusing on out of the money VIX calls.

Emerging Market Volatility Last Week – 7/20/2014

The emerging market space did not react in quite the same manner as the S&P 500 as rumors took stocks lower in a couple of legs down Thursday. We saw a gain in the implied volatility of EEM options, but not nearly to the extent as with the developed markets.   Brazil continues to be […]

Gold and Oil Volatility Last Week – 7/20/2014

The price of oil rose a bit in conjunction with the flare ups in the geopolitical situation this past week. However, oil had backed off from 2014 highs a few weeks ago and did not come close to surpassing those levels despite some real fear that showed up in the stock market. This resulted in […]

VXST Last Week – 7/20/2014

On Thursday VXST ran up from 10.26 to 16.23. I’ll catch some flak for this next sentence, but I’m pretty much resigned to always getting flak as long as I talk publicly about volatility markets. That means the CBOE Short-Term Volatility Index was up just over 58% which was the fourth biggest move (on a […]

Russell 2000 and Nasdaq-100 Volatility Last Week – 7/20/2014

Despite some interesting market movements last week VXN was down slightly. We can combine Friday’s market rebound from the latest one day crisis that occurred on Thursday along with INTC, EBAY, and GOOGL getting their earnings out of the way. I did notice that some big Nasdaq-100 components report next week (AAPL, AMGN, AMZN, and […]

Volatility Indexes and ETPs Last Week – 7/20/2014

The week over week curve changes do not even come close to doing this past week’s volatility index action any justice. I got out my back up spreadsheet that allows me to plot three lines. The result is below. Note the purple line showing the short lived volatility event from Thursday. The pattern of a […]

Volatility Index Reactions to Thursday’s Market Action

The cool weather has been making it feel like summer is ending and the markets acted like it as well. History tells us that September and October are treacherous months for the stock market and like the cool weather we got a swoon in the S&P 500 today. The result was fairly decent moves in […]

VIX Rose 32% on Thursday, as VIX Futures Now Offered Round-the-Clock – By Matt Moran

On Thursday the world experienced unsettling news as a plane was shot down in Ukraine, and there was violence in the Gaza Strip. There continues to be strong futures and options trading activity related to the recent rise in volatility indexes at CBOE. Long futures and long call options positions in volatility indexes are used […]

Why is the VIX so high?

No, our crack proofreading team didn’t muff the headline.  After several weeks of seemingly unanimous commentary about how investor complacency has resulted in VIX® levels that are “too low,” we want to ask the contrarian question.  Rather than being too low, why is the VIX so high? The question is germane because there has been […]

VIX Last Week – 7/6/2014

VIX finished the week at a post 2008 low which can be attributed to a bullish reaction to the June jobs number and an extra-long weekend.   After attributing for a guesstimate of the impact of the extra days off on spot VIX I wonder if the July VIX contract is a bit overdone to […]


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