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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 […]

Comparing VXST (9-day), VIX (30-day) and VXV (93-day) Indexes, and Term Structure – By Matt Moran

On October 1 the new CBOE S&P 500 Short-Term Volatility Index (VXST) was introduced at the second annual CBOE Risk Management Conference Europe. VXST is first-ever volatility gauge that includes the expected volatility of the popular SPX Weeklys options. To gain an understanding of investors’ consensus views of expected stock market volatility over different time […]

Two BlackRock Papers: (1) Volatile September, and (1) VIX Your Portfolio – By Matt Moran

BlackRock recently published two papers – ·         “Get Ready for a Volatile September” (August 20, 2013)  (8-page paper), and ·        “VIX Your Portfolio – Selling Volatility to Improve Performance” (June 2013 ) (24-page paper) The BlackRock paper on September volatility noted that –  “Volatility is likely to increase into September when the Federal […]

Fear Gauge Spikes: Let’s Play Hot Potato

For what risk does the commodity investor get paid? At what point is the fear gauge so high the risk gets passed like a hot potato? The answers to these questions will help explain why post the global financial crisis there has been a link between VIX spikes and commodity losses. Let’s address the first […]

How Do Volatility Indexes Compare to Volatility Skew? By Matt Moran

How does 30-day implied volatility at various strike prices compare to related volatility indexes?  This Blog provides a brief overview of some sample data and graphs on this topic. COMPARING IMPLIED VOLATILITY AND VOLATILITY INDEXES While the volatility indexes are great gauges for showing intraday and long-term changes in expected volatility, the volatility indexes often […]

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

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 […]

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

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 […]

2012 VIX in Context by Russell Rhoads, CFA

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 […]

VIX Drops to 13.22 — Lowest Level Since June 2007

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 ++++++++++++++++++ CBOE S&P 500® Implied Correlation Index Fell 27.8% In recent years investors often have asked […]

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

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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