Category Archives: Financial Markets

Quantifying VIX Contango and Backwardation

I’m in the process of updating different VIX related charts and statistics for next week’s three day VIX webcast series. I realized it has been a while since I addressed the topic of VIX contango and backwardation.   For those unfamiliar with these terms, a picture is worth a thousand words. The term structure illustration below […]

CBOE Hosting Three Free VIX Education Webcasts Next Week

In just under a week The Options Institute at CBOE will be offering three free webcasts discussing different aspects of the CBOE Volatility Index or VIX. On Monday August 25th I’ll start out with the basics of volatility indexes and introducing exactly what VIX is measuring.  In addition we will look at how the index has historically behaved […]

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 […]

Volatility Indexes and ETPs Last Week – 8/17/2014

Volatility came back down to what is considered ‘normal’ levels for 2014, but there was a slight twist. Note that on Friday VXST closed at a slight premium relative to VIX. I was hosting a VIP tour in the last hour of trading on Friday and things were pretty active as the S&P 500 worked […]

Russell 2000 and Nasdaq-100 Volatility Last Week – 8/17/2014

The Nasdaq-100 rose over 2.5% last week. Over 20% of NDX’s performance is based on two stocks – Apple (AAPL – 97.98) and Microsoft (MSFT – 44.79) – both of which rose about 3.5%. Whatever the reason, NDX was strong and VXN was over 20% lower on the week.   The Russell 2000 was the […]

Emerging Market Volatility Last Week – 8/17/2014

The emerging market sector continues to perform well in 2014. This performance comes in spite of the iShares MSCI Emerging Markets ETF (EEM – 44.51) having about 5% of the fund exposed to Russia. EEM rose about 1.8% last week which places the fund up more than 7% for the year. VXEEM dropped over 14% […]

Short-Term Volatility Last Week – 8/17/2014

VXST was displayed the expected amount of calm over a week where the S&P 500 rose over 1%. The only real excitement came via a little noise on Friday morning. After a bit of a swoon and by the end of the day the S&P 500 was almost unchanged. I guess the time frame for […]

Gold and Oil Volatility Last Week – 8/17/2014

The price action for the oil and gold markets, along with their respective volatility indexes is inerrable when the state of the world is taken into consideration. Even a looming shooting war between Russia and Ukraine doesn’t do much for the price of oil, gold, or implied volatility of either markets. Friday things started to […]

VIX Last Week – 8/10/2014

VIX was lower on the week by about 7%. However, from the close Monday to Friday VIX actually worked a bit higher and without Friday’s very impressive rally VIX may have finished the week higher. Looking at the chart below I find the highs on Thursday and Friday pretty interesting.   The highs surpassing last week’s close […]

VXST Last Week – 8/10/2014

The combination of the S&P 500 not following through on the downside after the previous week’s slide and no significant economic event on the horizon for the near term resulted in a pretty big drop in VXST this past week. The index came in from over 19 to the mid 15 level and finished the […]

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