Category Archives: Financial Markets

Weekend Review – VIX Options and Futures – 5/22/2016

The combination of VIX moving lower and June becoming the front month put some pressure on the June futures last week. I think maybe the lack of news flow expected over the next couple of weeks has something to do with that as well. Note the bifurcated futures performance from last week with many longer […]

Weekend Review – Volatility Indexes and ETPs – 5/22/2016

With the S&P 500 zig zagging this week, but finishing up by just over a quarter of one percent the curve was little changed. With one exception, VXST dropped 10% after we got past the FOMC minutes and the markets started to look forward to nothing for the next couple of weeks. VIX and VXMT […]

Weekend Review – VIX Options and Futures – 5/15/2016

After starting the week off on a bullish note, the S&P 500 finished out down just over a half a percent for the week. VIX was up just a bit more than 2%, most likely being held back by weakness that was associated with the S&P 500 moving higher on Monday and Tuesday last week. […]

Weekend Review – Volatility Indexes and ETPs – 5/15/2016

There was a slight twist in the VXST – VIX – VXV – VXMT curve last week as the shorter dated indexes rose and the two long dated indexes dropped slightly. Although unusual, I am not reading too much into this as the curve was already pretty steep and remains so after relatively small changes […]

Weekend Review – Volatility Indexes and ETPs – 5/8/2016

The S&P 500 was down 0.44% last week which places the index up only 0.65% for the year. Three out of the four S&P 500 focused volatility indexes were also lower last week, despite the drop in the S&P 500. I find the longer end of the curve holding up like it has for most […]

Weekend Review – VIX Options and Futures – 5/8/2016

VIX dropped last week, with a big part of the drop coming Friday afternoon. Note the futures followed suit, but specifically note that the front month May future gave up a little more ground than spot VIX. This is sort of common when we have an employment number. Also note how flat the curve is […]

Weekend Review – VIX Futures and Options – 4/17/2016

VIX fell to 13.62 as the S&P 500 put up some gains last week. The curve shifted lower, but is steep, even the expiring April contract finished the week at about a 1.50 premium to spot VIX.   I noticed that the S&P 500 was higher than the close two weeks ago and VIX was […]

Weekend Review – Volatility Indexes and ETPs – 4/17/2016

The S&P 500 was up by 1.62% last week and the VXST – VIX – VXV – VXMT curve reacted accordingly shifting lower in a fairly parallel fashion. The steepness has me concerned about the second half of this year, but for now things look just peachy. Note on the table below that despite (or […]

VIX Network Session at FIA Boca

Yesterday afternoon at the 41st Annual International Futures Industry Conference in Boca Raton, CBOE and S&P Dow Jones Indices teamed up for a session highlighting the growing use of VIX around the world. Reid Steadman from S&P Dow Jones Indices offered a brief welcome address where he noted the various markets where participants have access to […]

Weekend Review – VIX Options and Futures – 3/6/2016

VIX gave up over 14% as the S&P 500 tried to work back to the 2000’s last week, falling short by 0.01.  Note the steepness of the curve below with the standard March contract at over a two point premium to spot VIX. The generic curve is also a bit steep, considering it is normally […]

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