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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 […]

March 22 Panel at CBOE on Accessing the Volatility Risk Premium with Cash-Secured Put Writing – by Matt Moran

Presentations and a panel discussion on the topic of – Accessing the Volatility Risk Premium with Cash-Secured Put Writing – will occur on Tuesday March 22, 2016 from 5:00 PM to 6:45 PM at Chicago Board Options Exchange (CBOE), 400 So. La Salle St., (enter on Van Buren Street), Chicago, 60605 http://bit.ly/CAIA-March22 PANEL MEMBERS Oleg […]

Weekend Review – Volatility Indexes and ETPs – 3/13/2016

Three out of the four S&P 500 based volatility indexes dropped last week with the longer term focused VXMT rising slightly.  I went on a data fishing expedition with respect to weeks where VXMT and the S&P 500 rose, but couldn’t find a definitive patters.  I even looked at the predictive power going out as […]

The 32nd Annual RMC and Key Indexes – VVIX, SKEW, VIX, SPX, OVX, and WPUT – By Matt Moran

On February 29 – March 2 I attended the 32nd Annual CBOE Risk Management Conference  at the Hyatt Regency in Bonita Springs, Florida, and I was pleased to view several presentations by excellent speakers, including keynotes by Leo de Bever, PhD, Former CEO, Alberta Investment Management Corp., and by Jim VandeHei, Co-Founder, President, and CEO […]

VIX Options and Futures Review – 1/31/2016

The VIX term structure is approaching contango which many VIX watchers will consider a green light for the equity markets, but the February contract stubbornly remains elevated relative to the March contract.  Although on Friday this premium was down to 0.30.  My feeling is February may stay up a bit until we get the employment […]

Five Takeaways from 2015

2015 is behind us and the S&P 500 dropped (more than a rounding error) for the first time since 2008.  If you want to put a positive spin on the year you can say with dividends the S&P 500 was higher.  It was a fun year to be a market participant as we experienced some […]

Last Week in VIX – 8/30/2015

I’m depending on my aging mental capacity in lieu of spending the time to go through the last four years of VIX recap blogs for the following statement.  I have no recollection of a shift in the VIX term structure curve that replicates what shows up below.  VIX lost value on the week, while all […]

OTM Bear Call Spread from Monday’s VIX Rally

Fear was heightened on Monday and Greece and then China was making news.  VIX was high there and there was a trade that came into the VIX pit taking advantage of the move.  As the day came to a close, VIX was at 19.66 and the July Futures were more than a point lower. Someone saw […]

Last Week in VXST – 4/27/2014

I am adding a graphic to my blogs this week that shows the Friday to Friday price action for each of the volatility indexes that have tradable markets.  VXST rebounded on Monday based on the three day weekend effect that I discussed last week you can check out the link below, but the short version […]

Last Week in Emerging Market Volatility – 3/9/2014

The emerging market space took a hit early in the week as the Russia weighting of just over 5% led to a drag in performance for the iShares MSCI Emerging Markets ETF (EEM – 39.52).  Out of curiosity I checked out the country weightings for EEM on the iShares website.  The weightings for the top […]

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