Category Archives: Economic Data

BXY Index Highlighted by Rampart and by Goldman Sachs

What do portfolio managers say about investments to consider in times of high price/earnings ratios for stocks and low interest rates for bonds? One money manager, Ronald Egalka, President and Chief Investment Officer, Rampart Investment Management Company in Boston, has noted – “Market experience ranks among our most valuable assets. Since 1983 Rampart has responded […]

26 Volatility Indexes in 2014 – OVX (Oil VIX) Rose 183%; SKEW Index Averaged Highest-ever 129.8 – By Matt Moran

Dec. 31, 2014 – Highlights of the year 2014 in volatility include the following – In the 2nd half of the year crude oil prices fell, and the CBOE Crude Oil Volatility Index (OVX) rose 183% during the full year. While the average daily close for the CBOE Volatility Index® (VIX®) was 14.2 for the […]

OVX (Oil VIX) Rose Record 119%, GVZ (Gold VIX) Up 96% in Past 3 Months – By Matt Moran

Over the past three calendar months (September through November) — The CBOE Crude Oil ETF Volatility Index (OVX) rose 119%, the highest percentage rise for OVX over three calendar months since the inception of OVX price history in 2007. The OVX Index is a measure of the market’s expected future volatility of the United States […]

Gauges for Tools for Portfolio Protection – VIX, SPX, SKEW, and Term Structure – By Matt Moran

Nov. 17, 2014 – When I deliver presentations on portfolio risk management to groups of financial professionals, one of the most frequent questions is “What is a better hedge for a portfolio – VIX calls or SPX puts?” A 30-page paper by Morgan Stanley in June 2014 suggested that “VIX calls are best used to […]

Futures on Interest Rate Volatility Index (VXTYN) To Launch on Nov. 13 – By Matt Moran

Nov. 6, 2014 – A CBOE Holdings press release today noted that CBOE Futures Exchange (CFE) will launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) on Thursday, November 13. Futures on the VXTYN Index offer customers a way to hedge pure interest rate volatility risk based on U.S. government debt […]

October Recap – Biggest One-Day Changes – VXTYN Up 22.3%; VXEWZ Down 46.2%; VXST Up 48.2% – By Matt Moran

This past month was one of the most volatile months of the past three years, as the CBOE Short-Term Volatility Index (VXST) rose 48.2% on October 9, and the CBOE Brazil ETF Volatility Index (VXEWZ) hit its all-time daily closing high of 72.83 on October 20 (before the re-election of Dilma Rousseff as President of […]

Options Average Daily Volume Up This Month – 1.3 Million for SPX and 1 Million for VIX – By Matt Moran

I recently showed a chart with the yearly growth in volume in options on the CBOE Volatility Index® (VIX®) to a senior executive at a financial services firm, and the executive said that the VIX options volume strong growth in recent years was hard for him to believe, in light of the fact that the […]

VIX Spot Index to Include SPX Weekly Options Beginning Oct. 6 – By Matt Moran

Beginning Monday, October 6, 2014, CBOE will calculate the spot value of the CBOE Volatility Index® (VIX®) using S&P 500® Index (SPX) options with weekly and standard 3rd Friday expirations that more closely bracket the 30-day target timeframe. While this change is not expected to have a dramatic impact on the spot VIX Index (see […]

12 Key Stats Re: VIX Index — By Matt Moran

In the recent August 16 Striking Price column in Barron’s, Steven Sears authored a piece entitled “A New Vision of VIX” that noted – “Over the past 21 years, the CBOE Volatility Index, or VIX, has emerged as one of Wall Street’s most watched sentiment indicators. … Krag “Buzz” Gregory, a Goldman strategist, found that […]

VXST Futures and VIX Index Both Rose More Than 26% Today – By Matt Moran

July 31, 2014 — In a July 26 piece that now looks as if it could be rather prescient, in last weekend’s Barron’s Striking Price Column, Steve Sears wrote — “BlackRock, the world’s largest asset-management firm, is telling clients that equity-options volatility is now the last cheap asset class in the financial market. With the […]

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