Author Archives: Russell Rhoads, CFA

VIX and VXN – Week of 6/21/2013

It was a tumultuous week for VIX.  June settlement came in at 17.22 which was the highest settlement value since last year.  The S&P 500 was off 2.11% which matched the worst weekly performance in 2013.  Thursday, with the stock market under pressure VIX closed over 20.00 for the first time this year and the […]

Gold and Oil Volatility – Week of 6/21/2013

For those that follow technical analysis and support and resistance levels you understand that when support is broken it becomes resistance for a market.  The price of gold in the form of the SPDR Gold Shares ETF (GLD – 125.05) had been holding the 130 – 131 level for the past few weeks since dropping […]

Emerging Market Volatility Week of 6/21/2013

There is no real way to quantify 2,000,000 people protesting their government, but the CBOE Brazil ETF Volatility Index (VXEWZ – 38.47) came pretty close this week rising over 22% on the week.  On Thursday it actually closed above the 40.00 level for the first time since a year and a week ago on June […]

VIX Options and Exchange Traded Products – Week of 6/21

This week’s 2.11% drop in the S&P 500 matches the worst week this year.  The other 2.11% drop occurred when the S&P 500 came under pressure in mid-April in conjunction with the headline grabbing drop in the price of gold that week.  What is different this time is that market volatility was a bit more […]

Volatility Curves All Flat or in Backwardation

With pressure abounding in the financial markets volatility as a tradable asset had quite a day.  The CBOE Futures Exchange experienced the second busiest day in history as all six volatility indexes that have futures markets were up significantly.  The one day performance for each index was – S&P 500 – VIX 20.49 +3.85 (23.14%) […]

VIX Trading Today – 6/20/2013

With the relentless selloff that occurred today in the S&P 500, VIX reacted as would be expected and rose 23% to close over 20.00 for the first time in 2013.  VIX futures trading volume was exceptionally high coming in at 347,889 which is a second best in history.  The biggest volume day was back in […]

VXTYN in Front of the Fed Decision

Tomorrow in the middle of the afternoon the markets will brace, take a deep breath, and then parse the wording of the press release from the Federal Reserve.  Consensus is that the Fed Funds target rate will stay in the 0.00% – 0.25% range where is has been since December 2008.  The real focus seems […]

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 […]

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