Category Archives: VIX

Will VIX Futures Prices Move During the Sunday Night Debate? – By Matt Moran

OCTOBER 7. 2016 – On the night of September 26 a debate-record 84 million people tuned in to watch the first of three U.S. Presidential debates. During the debate there were movements in the prices of futures on the CBOE Volatility Index® (VIX®), S&P 500® futures, and the Mexican peso (see below for a chart […]

Weekend Review – Volatility Indexes and ETPs – 10/2/2016

The VXST – VIX – VXV – VXMT Curve is a consistent way to look at different S&P 500 Option Implied Volatility time frames.  All four indexes moved up a bit last week, with the curve shape maintaining a pretty steep shape. The ETPs were a mixed bag last week.  VXX and the other long […]

Weekend Review – VIX Options and Futures – 10/2/2016

The VIX curve did The Twist (cue Chuck Berry) as spot VIX rose 8% and the front month October contract was up by just over 1%.  Beyond the front month all things were red. The highest closing level for VIX last week came on Monday with the spot index finishing the day at 14.50.  One […]

New Wilshire Study: BXMD and PUT Indexes Offered Higher Returns, Lower Volatility Over Three Decades

By Matt Moran SEPT. 21, 2016 – Wilshire Associates recently was ranked as one of the world’s ten largest investment consultants, due to the fact that it had more than $1 trillion in worldwide institutional assets under advisement, according to the survey published in the Nov. 30, 2015 issue of Pensions & Investments. A new […]

Weekend Review – VIX Options and Futures – 9/11/2016

The streak of SPX doldrums came to an end on Friday with the orderly drop of over 50 points for which resulted in VIX rising to 17.50.  Everything worth noting happened on Friday which may have added to the angst that resulted in the S&P 500 closing near the daily lows and VIX closing near […]

Weekend Review – Volatility Indexes and ETPs – 9/11/2016

VXST more than doubled as a function of the index being depressed in front of the three-day weekend and then in reaction to Friday’s SPX sell off.  As would be expected, the rest of the VXST-VIX-VXV-VXMT curve moved higher as well, but outside of VXST relative to VIX we are still in a state of […]

Weekend Review – VIX Options and Futures 9/4/2016

VIX finished the week just under 12.  We can attribute this to a combination of the equity market being pleased by Friday’s August Non-Farm Payroll report along with the three-day weekend effect.  Note the September futures, which settle on the 21st moved lower, but held up a bit relative to spot VIX.  This is common […]

Weekend Review – Volatility Indexes and ETPs 9/4/2016

The VXST – VIX – VXV – VXMT curve does what it normally does on a pre three-day weekend week and got steeper.  It’s been a while since I ran the numbers but I’m fairly certain VXST almost always drops before a holiday weekend and then rebounds when we all return to work refreshed and […]

Sept. 22 Webinar – Case Studies on Institutional Investor Use of VIX

On Thursday, September 22 at 2:00 p.m. E.T., S&P Dow Jones Indices and CBOE will co-host a complimentary webinar for financial professionals on the topic of — How are Institutional Investors Using VIX®?  Financial professionals who wish to register and see more information are welcome to visit this link — The panel will cover: […]

Weekend Review – VIX Futures and Options – 8/21/2016

VIX dropped a little as the equity market did a whole lot of nothing last week.  We retired the August contract on the open Wednesday morning and September took over as the front month.  With time to go to expiration (this is actually a five-week cycle) everyone seemed to notice the steep contango again.  What […]


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