Category Archives: VIX

New VIX Weeklys Futures and Options – Enhanced Responsiveness with More Wednesday Expirations – By Matt Moran

CBOE Futures Exchange (CFE®) plans to list futures with weekly expirations on the CBOE Volatility Index® (VIX®) beginning Thursday, July 23, 2015, subject to regulatory review. VIX Weeklys options at CBOE are expected to follow on a later date, also subject to regulatory approval. The new VIX Weeklys futures and options will offer more expirations […]

VIX Last Week – June 29 – July 2

VIX rallied over 34% on Monday as the Greece situation worsened and global equity markets sold off. The front month July VIX contract gained just under 20%. As the week progressed we gained insight into June economic activity with an unusual Thursday release of the non-farm payroll report. The stock market moved on quickly and […]

Volatility Indexes and ETPs Last Week – June 29 – July 2

We had the most exciting market action during the holiday shortened week. As everyone knows we can thanks the cradle of civilization Greece for all the hub bub. On Monday the S&P 500 was down over 2% for the first time since October of last year. VIX reacted accordingly by rising over 34% on the […]

Block Trade Analysis – VXX Option Trade from Monday

Monday of this past week was one of the more exciting days we have had in 2015. That’s probably an understatement since VIX futures volume was the highest it has been this year. When the S&P 500 is down and volatility is up there are traders always looking to take the other side of the move. […]

Big Week for VIX re: Backwardation, Big Moves and Volume, ETH, Put/Call Ratio, and Bollinger Bands – by Matt Moran

After the news broke last Sunday (June 28) regarding the closing of banks in Greece, worldwide markets for stocks and oil plunged, and investors sought assets that could rise and serve as diversifiers. The VIX® July futures prices responded by rising from 14.525 on June 26 to 17.375 on the next trading day (June 29). […]

Mid-Year Recap – Vol-selling Indexes Up; Big Jump for VIX and VVIX on June 29 – By Matt Moran

A recent Bloomberg story noted — “The S&P 500 drifted to an all-time high on May 21, before the Greece crisis overshadowed signs that a first-quarter slowdown in economic growth would prove transitory. The benchmark index tumbled 2.1 percent Monday, the most since April 2014 and erasing gains for the year, as Greece surprised investors […]

On Sunday Night VIX Futures Volume Topped 26,600, as VIX Futures Rose 10.8% – By Matt Moran

       Managing Volatility Around-the-Clock SUNDAY, JULY 28 AT 11 PM CT – Tonight the VIX futures estimated volume topped 26,600 contracts, and the VIX nearby (July) futures rose 10.8% in the time period from 5 p.m. to around 10:30 p.m. Chicago time. News stories tonight indicated that the Euro, many Asian stock indexes, and U.S. […]

The Greece Crisis is Not Our Concern, Say US Options Investors

English speakers have grown to love the German word schadenfreude. But what’s the single word for indifference to the suffering of others? We need to figure this out to describe what’s happening in the US options markets. For the past decade, European and US options investors have been sympathetic to each other’s pains. When we […]

Record Volume Today in ETH Session for VIX Options – By Matt Moran

June 16, 2015 – Yesterday the CBOE Volatility Index® (VIX®) rose to its monthly closing high of 15.39, and earlier today in the June 16 Extended Trading Hours (ETH) sessions, the estimated trading volumes during ETH were 30,920 for VIX futures (the high for the month), and 6,984 for VIX options (the all-time record high). […]

Last Week in VIX – 5/31/2015

The S&P 500 drop, which can be mostly attributed to market action on Friday, resulted in VIX putting up a pretty bullish week. Everyone is aware that we had a short week last week and VIX traders know this can cause a little disorientation when looking at VIX relative to the futures pricing. The curve […]

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