Author Archives: Russell Rhoads, CFA

Top 5 Volume Day for VIX Option Trading

Despite being in the midst of the traditionally slow trading period for the equity markets that seems to annually come between the end of second quarter earnings and Labor Day VIX options put up a pretty impressive volume day.  1,351,177 VIX options changed hands at the CBOE today for the fourth busiest day on record.  […]

Last Week in VIX and VXN – August 2, 2013

VIX closed under 12.00 for the first time since mid-March.  When VIX closed with an 11 handle before the S&P 500 was in the mid 1500’s.  Now with the S&P 500 a few points over 1700, VIX is approaching a new post 2008 low.  I noted a couple of headlines asking, “How low can VIX […]

Last Week in Emerging Market Volatility – August 2, 2013

Emerging markets appear like they will never get out of the starting gate in 2013 let alone catch up with the performance of the S&P 500.  As of Friday the S&P 500 is up just a hair under 20% for the year while the iShares MSCI Emerging Markets ETF (EEM – 39.71) has lost over […]

Last Week in Gold and Oil Volatility – August 2, 2013

The price of oil continues to hover around high levels with the September futures contact trading around 107.00 on Friday.  The United States Oil Exchange Traded Fund (USO – 37.94) rose about 2% on the week and the orderly move in the price of oil put pressure on OVX which dropped just over 3%.  The […]

Last Week in VIX Options and Exchange Traded Products – August 2, 2013

VIX closed below 12.00 for the first time in a while and this took the front month futures and the long VIX related exchange traded notes to new lows as well.  VXX, VXZ, VIXY, and VIIX all lost between 7% and 9% on the week.  The leveraged long VIX ETNs took it on the chin […]

The Week in VIX and VXN – July 26

For the week that ended last Friday (7/16) VIX was down and VXN was up.  This past week saw a reversal of this as VXN came back down close to in line with VIX after running up to a premium of over just a point.  This dichotomy of performance is the result of the S&P […]

The Week in Gold and Oil Volatility – July 26

If you blinked you missed it but the SPDR Gold Shares ETF (GLD – 128.78) visited the 130’s for a brief period of time on Tuesday this past week.  This was the first time a GLD price started with a 1 and 3 since the middle of June.  The 130 price level was providing some […]

The Week in Emerging Market Volatility – July 26

Emerging market volatility inched downwards as the iShares MSCI Emerging Markets ETF (EEM – 39.83) rose 1.4% and the iShares MSCI Brazil Capped ETF (EWZ – 44.66) was up a little over 2%.  Despite putting up solid numbers this week EEM is down 12% and EWZ is down just over 20% on the year.  VXEEM […]

The Week in VIX Options and Exchange Traded Products – July 26

The S&P 500 gave all it had to finish in the green for the week but time ran out Friday afternoon and the SPX ended the week down 0.03%.  I can just hear Mortimer Duke screaming, “Turn those machines back on” for five more minutes to give the S&P 500 another notch in the weekly […]

The Week in VIX and VXN – July 19, 2013

For the past few weeks VIX and VXN have been quoted in synch.  In fact this past Wednesday morning July VIX settlement was 14.43 while the July VXN futures settlement value was 14.33 – only a 0.10 difference.  The chart below shows the daily closing prices for VIX and VXN in 2013.   Until 2013 […]

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