Author Archives: Russell Rhoads, CFA

Last Week’s VIX Action by Russell Rhoads, CFA

Both the S&P 500 and NASDAQ-100 were up slightly last week and both VIX and VXN were up as well.  That is where the similarity between VIX and VXN action ends.  Despite a higher VIX, all VIX futures contracts were lower on the week.  It appears that risk farther out on the curve is finally […]

Last Week’s VIX Action by Russell Rhoads, CFA

The S&P reached the 1500 level and then some this week.  The interesting action is that VIX and VVIX were higher as well.  It’s odd to have the weekly change for all the same color (red or green), but SPX, VIX, and VVIX were all green.   VIX held up in a higher S&P 500 market Friday which […]

Last Week’s VIX Action by Russell Rhoads, CFA

US equity market volatility has reached levels not seen in some time.   The market (for the most part) continues to trade in narrow daily ranges which results in low realized volatility.  As the moves are mostly to the upside VIX and VXN have come under some extra pressure.  VIX went out Friday at 12.46.  Do […]

Last Week’s VIX Action by Russell Rhoads, CFA

This past week VIX was quoted at the lowest levels seen before the financial crisis of 2007 and VIX continues to spend time in the 13’s.  The low level of VIX has been getting a lot of attention, but VVIX has also been making some significant lows.  Last Friday VVIX closed at an all-time low […]

2012 VIX in Context by Russell Rhoads, CFA

In Chapter 9 of Trading VIX Derivatives I discuss VIX as a stock market indicator. The relationship between VIX and VIX futures is discussed and to smooth futures data I created what I call the Modified VIX Futures contract. The motivation behind creation of this Modified VIX Futures contract was to have a consistent futures […]

Last Week’s VIX Action

Most of the week Dec VIX futures were at a discount to the spot VIX index. This was despite the November employment report being released on Friday. The market yawned at the report with the S&P 500 finishing up slightly on the week and VIX finished the week basically unchanged. The December contract spent most […]

This Week in VIX and VXN Trading

Both the S&P 500 and Nasdaq-100 Indexes were higher last week. Neither VIX nor VXN followed the typical inverse relationship with the underlying indexes and actually finished the week higher as well. On the open Friday, the S&P 500 was higher and VIX was under pressure trading around 13.50. I saw several twitter comments predicting […]

This Week In VIX Options and ETNs

This past week the S&P 500 rose almost 2% on the week and in a strange twist VIX was higher on the week as well.  Friday’s action contributed to a corresponding rise for VIX on the week as it appeared portfolio managers may have been in the market for portfolio protection through buying SPX puts.  […]

Record VIX Futures Volume

Earlier this week (Tuesday) we witnessed record volume in VIX Options and now the VIX Futures trading at the CBOE Futures Exchange have followed suit. On Thursday the CFE experience a record volume day of its own with strong volume in the VIX Futures arena. At the CFE just over 190,000 VIX Futures were traded […]

Record VIX Option Volume

Yesterday – September 11, 2012 was a record day for VIX option trading with approximately 1.22 million contracts traded. This surpasses the previous record of 1.17 million contracts back on August 5, 2011. This also marks only the third time that VIX option volume has surpassed 1 million contracts. The other day this occurred was […]

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