Category Archives: Economic Data

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 […]

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 […]

Is the VIX “Low”? SPX Historic Volatility Plunges to 7.88 – By Matt Moran

FRIDAY, MAY 30, 2014 – Lately I have heard inquiries from some stock investors as to whether the CBOE Volatility Index® (VIX®) recently has been at “low” levels; today it closed at 11.40. VIX is a reflection of the market’s expectations regarding future stock market volatility. To gain insights as to what expected volatility could […]

Record Highs for Nine CBOE Indexes – By Matt Moran

TUESDAY, MAY 27, 2014 — Here are the all-time record high daily closing values that were reached by nine CBOE benchmark indexes today – 256.68   VPD – CBOE VIX Premium Strategy Index 251.32   VPN – CBOE Capped VIX Premium Strategy Index 178.46   VXTH – CBOE VIX Tail Hedge Index 266.31   BXD – […]

Bracketology – Biggest One-day Moves for VXST (up 81.7%) and GVZ (up 61.7%) – By Matt Moran

While many U.S. sports fans are bemoaning the fact that their NCAA basketball brackets have been demolished, options fans can always look to volatility indexes for intriguing comparisons that can help hone their trading and investment strategies. Below are two newly constructed brackets that use CBOE data. BIGGEST ONE-DAY MOVES One of the top reasons […]

Four Volatility Experts at CBOE on Wed. Mar. 26 – By Matt Moran

A panel discussion featuring four experts will survey the development and promise of volatility products. The panelists will include volatility product traders and users. The meeting will be held on Wednesday, March 26, from 5:00  to 7:00 p.m. at CBOE, 400 South LaSalle Street in Chicago. The four panelists will be:  Mike Edleson, Ph.D., CFA,  […]

Record Volume in 2013: VIX Futures Up 67%, and SPX Options Up 19% — By Matt Moran

JAN. 2, 2014 – Average daily volume for three key index contracts – options on the S&P 500 Index (SPX), and futures and options on the CBOE Volatility Index (VIX) — all rose to new record levels in 2013. VIX options established new record high levels for trading volume in each of the seven years […]

Today OVX Index Rose 16%, and VXTYN Fell 0.8% – By Matt Moran

August 27, 2013 – Stock indexes fell today (Tuesday) as a story at www.wsj.com noted – “… the sell-off extends a decline from recent weeks blamed on expectations that the Federal Reserve will decide in September to scale back its economic stimulus efforts. Adding to the negative tone Tuesday is increased saber rattling on Capitol […]

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 […]

SPX Tops Its First 100-Point Milestone in 13 Years – By Matt Moran

An interesting way to look at trends in the S&P 500® (SPXTM) Index is to look at the dates on which it first closed above its 100-point milestones. As shown in the table below, the SPX first closed above 200 in Nov. 1985, above 500 in March 1995, above 1000 in Feb. 1998, and above […]

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