Category Archives: Financial Markets

Weekend Review – VIX Futures and Options – 7/17/2016

With VIX testing 2016 lows this past week the soon to be retired July future headed lower at a slightly faster rate than VIX dropping 6.43% versus 4.02%.  Even with the bigger loss on the week the July contract finished the week at more than a one premium to VIX.  We will see on Wednesday […]

Weekend Review – Volatility Indexes and ETPs – 7/17/2016

Short term volatility was the big loser among the four S&P 500 related volatility indexes as VXST lost over 10% last week.  This was more than two times the drop in VIX and more than three times the drop in VXV and VXMT.  The result is a pretty darn steep curve indicating concerns about the […]

Weekend Review – VIX Options and Futures – 7/10/2016

VIX finished the week at 13.20 – only 0.10 higher than lowest 2016 close of 13.10.  The front month (July) futures contract was down slightly more than VIX this past week.  Anecdotally I’ve noticed in the past when we see VIX down significantly in reaction to the employment number that the front month contract seems […]

VIX® Index Jumps 49.3% on Friday, with Record Overnight Volume for VIX Futures – By Matt Moran

The CBOE Volatility Index® (VIX®) rose 49.3% on June 24, after the results of the Brexit referendum were announced. The VIX Index is a key measure of market expectations of near-term volatility conveyed by S&P 500® stock index option prices. FUTURES ON THE VIX INDEX On June 24 the CBOE Futures Exchange, LLC (CFE®) announced […]

Key VIX Futures Prices Jump More Than 60% By Early Friday Morning – By Matt Moran

JUNE 24, 2016 – Prices for certain futures contracts on the CBOE Volatility Index® (VIX®) rose more than 60% during the early part of the June 24 trading day, as more updates about the anticipated results of the Brexit referendum were divulged. At around 12:45 am ET on June 24 — (1) the VIX Weekly […]

Weekend Review – Volatility Indexes and ETPs – 6/19/2016

The VXST – VIX – VXV – VXMT curve moved from contango to an unusual shape this past week. Lots of things point to the markets being concerned about next week’s ‘should I stay or should I go’ vote in Britain. VXST represents short term SPX option volatility and the options that expire just after […]

Records for VIX Futures and for SPXW Wednesday Expirations – by Matt Moran

Below are updates on (1) VIX futures, (2) SPXW Wednesday-Expiring Weekly options, and (3) the BPVIX Index. (1.) RECORD OPEN INTEREST. Futures on the CBOE Volatility Index® (VIX®), which launched in 2004, experienced some milestones regarding open interest in recent days – VIX futures open interest surpassed 500,000 for the first time on June 6; […]

Weekend Review – VIX Futures and Options – 6/12/2016

June VIX settlement is on the horizon, just two trading days and an overnight to Wednesday’s AM settlement. I mention that as a lead off in this space as I find the June futures at a premium to spot VIX kind of interesting considering VIX rose 26% last week. Admittedly, a 0.50 premium isn’t all […]

BPVIX Hits Highest Level in 7 Years, So Let’s See the Skew and Term Structure for Listed Options

On Monday the CBOE/CME FX British Pound Volatility Index (BPVIX) closed at 22.59, its highest daily close since March 2009, and the BPVIX Index has risen 161.8% so far this year (through June 6). A number of news articles have noted that the implied volatility for British Pound has risen during the past month because […]

Weekend Review – VIX Futures and Options – 5/29/2016

With the strength in stocks last week VIX finished the week just 0.02 higher than the 2016 closing low of 13.10. Always remember that part of the equation on Fridays when looking at VIX performance relates to a weekend impact where the market is closed for two days. This is accentuated when we have a […]

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