Category Archives: Financial Markets

Last Week in VIX – 3/16 – 3/20

Last week VIX experienced the second biggest week over week percentage drop for 2015. The largest move lower occurred the week before the three day Martin Luther King holiday weekend so that one may need to be given an asterisk.   However, VIX going back to the tweens last week should not be ignored as an […]

33 Speakers at RMC Cover Skew, Vol of Vol, Options-Based Funds, etc.

At the 31st Annual CBOE Risk Management Conference (RMC) on March 4 – 6, 2015 in California, thirty-three expert speakers (see list below) spoke on a variety of subjects, including skew, volatility of volatility, and a new 2015 study with the first-ever list of publicly available list 119 Options-Based Funds. Speakers noted that Extended Trading […]

VIX Last Week – 2/23 – 2/27

The S&P 500 hardly budged on a week over week basis and VIX drifted lower. The March future drifted lower basically in sync with the index, but is still at a health premium relative to the index. I’m attributing that to the pending employment numbers coming out next week. I need to do a study […]

Volatility Indexes and ETPs Last Week – 2/23 – 2/27

Last week was fairly quiet despite the second revision of GDP coming in a little light. We may see a little more volatility action in the coming week as on Wednesday the ADP Employment Change report is released Wednesday before the open and then the government version of the employment report coming on Friday. Both […]

Extended Hours for VIX Option Trading Begins 3/2

The question we have heard over the last several years was “CBOE VIX Futures have extended trading, when will VIX Options have Extended Trading Hours”? On Monday, March 2nd,  Extended Trading Hours (ETH) for VIX options will launch.  Trading hours will be from 2:00 a.m. to 8:15 a.m. Central Time (“CT”).  Regular VIX trading will […]

Last Week in VIX – 2/22/2015

VIX was down some last week and the newly christened front month March future followed the index lower and then some. Despite the drop, the March future finished Friday at a pretty steep premium relative to the index which shows that despite the S&P 500 making new highs, the volatility market isn’t convinced 2015 will […]

Last Week in the Volatility Markets – 2/22/2015

Usually it is pretty easy for me to come up with something new to say regarding what went on the volatility markets last week. However, it has been a lot of the same for a pretty long time now. We have now experienced three all-time highs for the S&P 500 in 2015, which is three […]

Last Week in VIX – 2/8/2015

With a 17% drop in VIX, the week ended not just in contango, but pretty steep contango. Especially when looking at February versus the spot. Also taking into account there is a week and a half remaining until February settlement. February at almost a 2 point premium to VIX in a pretty good indication that […]

Last Week in Volatility Markets – 2/8/2015

A big up week for the S&P 500 resulted in the VXST – VIX – VXV – VXMT term structure curve returning to contango after going into backwardation to end the previous week. This sort of action is wearing thin for guys on the floor. I was even pulled aside and told that there seems […]

Checking In on Oil Volatility

Oil was the headline grabbing market for the last few months of 2014. For months the price of oil has continued to violate any sort of support levels that technical analysts can come up with. January’s average OVX close was just over 55. This was the highest average for a month since the tail end […]

  • CATEGORIES

  • Recent Comments

  • Tags