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Category Archives: Uncategorized

New CBOE/CBOT 10-year U.S. Treasury Note Vol. Index (VXTYN) by Matt Moran

Matt Moran
Vice President
CBOE
May 23 - 7:41 pm
Comments: 0

May 23, 2013 — Today a press release announced that CBOE began disseminating values for a new volatility benchmark index using futures options data on CME Group’s 10-year U.S. Treasury note contract.  The CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM (ticker symbol VXTNYSM) is the first volatility index based on U.S. government debt to be [...]

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What % Allocation to VIX Futures and Options for Portfolio Diversification?

Matt Moran
Vice President
CBOE
January 14 - 7:06 pm
Comments: 0

During times when the CBOE Volatility Index® (VIX®) is at relatively low levels, we often receive investor questions such as – how much of an allocation might I make to VIX futures and options in order to try to diversify my portfolio? RELATIVELY LOW RECENT VALUES FOR VIX In 2012 the average daily closing value [...]

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2012 VIX in Context by Russell Rhoads, CFA

Russell Rhoads
Instructor
CBOE
January 11 - 10:57 am
Comments: 0

In Chapter 9 of Trading VIX Derivatives I discuss VIX as a stock market indicator. The relationship between VIX and VIX futures is discussed and to smooth futures data I created what I call the Modified VIX Futures contract. The motivation behind creation of this Modified VIX Futures contract was to have a consistent futures [...]

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VIX Drops to 13.22 — Lowest Level Since June 2007

Matt Moran
Vice President
CBOE
January 10 - 12:36 am
Comments: 0

Jan. 9, 2013 – Today the CBOE Volatility Index® (VIX®) dropped to its lowest intraday value since June 20, 2007.  Here is a 5-year chart of VIX values –For more information on VIX-related strategies and papers, please visit www.cboe.com/VIX. ++++++++++++++++++ CBOE S&P 500® Implied Correlation Index Fell 27.8% In recent years investors often have asked [...]

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VIX Has Its Biggest Two-Day Fall – 35.4%; Record Futures Volume

Matt Moran
Vice President
CBOE
January 3 - 12:05 am
Comments: 0

Jan. 2, 2013 – On the two most recent trading days of Dec. 31st and Jan. 2nd – The CBOE Volatility Index® (VIX®) fell by 35.4%, the biggest-ever drop (in percentage terms) over two trading days for the VIX Index, which has historical data back to 1990; and Futures on the VIX Index set new [...]

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VIX Has Biggest 1-Day Jump of 2012; 6 Key Facts

Matt Moran
Vice President
CBOE
December 29 - 12:46 am
Comments: 0

Dec. 28, 2012 – Here is an update on 6 key facts about the VIX and related indexes and trading instruments – (1)    Today (Friday) the CBOE Volatility Index® (VIX®) rose 16.7%, its biggest one-day up move (in percentage terms) since November 2011.  A key factor in the rise in the VIX is investor uncertainty [...]

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Last Week’s VIX Action

Russell Rhoads
Instructor
CBOE
December 10 - 10:05 am
Comments: 0

Most of the week Dec VIX futures were at a discount to the spot VIX index. This was despite the November employment report being released on Friday. The market yawned at the report with the S&P 500 finishing up slightly on the week and VIX finished the week basically unchanged. The December contract spent most [...]

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25 Years Ago, the VXO Index Topped 150

Matt Moran
Vice President
CBOE
October 20 - 7:03 pm
Comments: 0

Twenty-five years ago, on October 19, 1987, the S&P 500 Index (SPX) fell by 20.5%, and the CBOE S&P 100 Volatility Index (VXO) rose by 313% to close at an all-time daily closing high of 150.19. Below are key values for seven trading days in October 1987 – VXO INDEX – 25 YEARS AGO – [...]

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VIX Presentations in NYC (Oct. 18) and Boston (Oct. 25)

Matt Moran
Vice President
CBOE
October 1 - 7:37 pm
Comments: 0

As shown in the charts below, both VIX® futures and VIX options are experiencing all-time record high average daily volumes this year.   While interest in VIX is high, many investors remark that they would like to learn more about VIX and volatility.  Presentations on Accessing VIX and Volatility will be delivered in New York and [...]

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Record VIX Futures Volume

Russell Rhoads
Instructor
CBOE
September 14 - 9:07 am
Comments: 2

Earlier this week (Tuesday) we witnessed record volume in VIX Options and now the VIX Futures trading at the CBOE Futures Exchange have followed suit. On Thursday the CFE experience a record volume day of its own with strong volume in the VIX Futures arena. At the CFE just over 190,000 VIX Futures were traded [...]

Also posted in Futures and Options, VIX | 2 Comments

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