Category Archives: VIX

Last Week in VIX – 1/25/2015

The S&P 500 was strong and VIX was weak last week. We returned to contango in VIX world as the S&P 500 was up 1.6% for the week. This despite having a tough Friday. Note the February future is at a pretty nice premium to the spot index. This may be a function of the […]

Last Week in Volatility Indexes and ETPs – 1/25/2015

Last week was another roller coaster ride for the equity market and subsequently the volatility markets. The VXST – VIX – VXV – VXMT volatility curve shifted back into contango and shook off a mild market drop on Friday to stay that way. With VIX having a 16 handle, I am beginning to wonder if […]

Block Trade Analysis – VIX Jan 20 Calls from 1/20/2015

Yesterday as the trading day got started I heard a shout to my right (which is the direction of the VIX pit) as a big trade came into the VIX arena. It turns out all the hubbub was about a buyer of 80,000 VIX Jan 20 Calls who paid 0.75 for 8,370 and 0.80 for […]

Last Week in VIX – 1/18/2015

If the January VIX futures could speak they probably would say something like, “I told you so”. Of course the contracts can’t speak, but the point behind this is a week ago the January contract closed at a pretty substantial premium to VIX relative to recent history. A week later both the January contract and […]

Last Week in Volatility Indexes and ETPs – 1/18/2015

Despite Friday’s rally, the S&P 500 was down four of five days and gave up about 1.25% last week. At the worst point the S&P 500 was down over 3% on the week and then of course it shook off the dip and rallied to end the week. You can’t keep a good market down […]

Fear of Fear Itself Reaches Crisis Levels

Franklin Delano Roosevelt would be disappointed. The US fear index, officially named the CBOE Volatility Index (VIX), has ticked up, averaging 16.4 since the beginning of Q4 2014, compared to 13.5 in the first three quarters of last year. If the story stopped there, we might still be able to look FDR in the eye. […]

Last Week in VIX – 1/11/2015

This past week was one of those where the week over week change in the VIX term structure does no justice whatsoever to the price action. The S&P 500 dropped 0.65% from Friday to Friday. However, at the worst point the S&P 500 was down 3.2% and at the highest point the S&P 500 was […]

Last Week in Volatility Indexes and ETPs – 1/11/2015

When we have volatile weeks like last week I will alter the various term structure of volatility charts included in these blogs. The first graphic is an example of this where I added Tuesday’s closing levels for VXST, VIX, VXV, and VXMT to the typical week over week curve. Something that really stands out to […]

Was Yesterday’s VIX Action Indicating Market Panic?

While most people were watching the markets today I was running from meeting to meeting and only had a couple of chances to check out what was going on in the markets. Usually on days like this we can hear extra volume (not numerical, but audible) at The Options Institute as our offices are just […]

2014 VIX Review

In 2014 VIX managed to reach the highest levels seen in over two years.  This happened despite a fairly bullish year for the S&P 500 with the index achieving a record high more than fifty times.  also, as seen below most of the VIX action occurred in the 3rd quarter after a fairly quiet summer. Some […]

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