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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 […]

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) http://bit.ly/VolSept  (8-page paper), and ·        “VIX Your Portfolio – Selling Volatility to Improve Performance” (June 2013 ) http://bit.ly/BlackRock-VIX (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 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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