Category Archives: VIX

VIX Options and Futures Review – 2/5/2016

Friday provided our first glimpse into how the economy was faring in January and the stock market apparently didn’t like what it saw.  VIX finished the day up 7% which was just under half the over 15% rise we got last week.  The February future managed an 11% gain to finish higher than spot VIX. […]

Volatility Indexes and ETPs Review – 2/7/2016

VIX rose last week as did the rest of the volatility indexes that based their levels on S&P 500 Index (SPX) option pricing.  Usually in times of panic VXST (9-day volatility) rises above VIX (30-day volatility), but that was not the case this past week.  You can read this two ways – traders think stocks […]

VIX Options and Futures Review – 1/31/2016

The VIX term structure is approaching contango which many VIX watchers will consider a green light for the equity markets, but the February contract stubbornly remains elevated relative to the March contract.  Although on Friday this premium was down to 0.30.  My feeling is February may stay up a bit until we get the employment […]

Volatility Indexes and ETPs Review – 1/31/2016

The equity market came to life last week and avoided what could have been the worst January in most of our lifetimes for stocks.  In response the four volatility indexes that are based on SPX option pricing were lower, but all four are also well above where they were to end 2015.   I included […]

Block Trade Analysis – VIX Bull Call and Iron Condor Spreads

We had two big trades come through the VIX pit on Thursday and about the only thing they have in common is that they both used March VIX options. First, there was an out of the money bull call spread.  With spot VIX around 22.60 there was a buyer of 80,000 VIX Mar 27 Calls […]

Paper by Professor Bondarenko Has Intriguing New Analysis of PUT and WPUT Indexes

Jan. 27, 2016 – A new 10-page study examines both the CBOE S&P 500 PutWrite Index (PUT) and the CBOE S&P 500 One-Week PutWrite Index (WPUT), comparing their performances with that of traditional benchmark stock and bond indexes. This is the first comprehensive published study that examines the performance of a benchmark strategy index that […]

VIX Options and Futures Review – 1/24/2016

The stock market rally on Friday put pressure on VIX and pushed the spot index down enough that the front month February future closed at a slight premium.  This is the first premium for the front month VIX futures relative to spot since January 4th.  I’ll discuss this a bit more toward the end of […]

Volatility Indexes and ETPs Review – 1/24/2016

The S&P 500 rebounded by about 1.4% last week and SPX option volatility moved a bit lower.  The VXST – VIX – VXV – VXMT curve shifted lower and flattened.  However for a bit of perspective I show where we ended 2015.  I think the comparison is a good indication that we may not be […]

Be Cautious When Using VIX vs. Oil as a Market Indicator

I awoke this morning to an email from the matriarch of CBOE-TV Holly Goodhart.  She was preparing for her day with CNBC on in the background and something caught her eye.  The following comes directly from her email – I have CNBC on this morning, and they just spent a segment discussing this headline: “Markets […]

Current VIX Backwardation Streaks in Context

Spot FM SM

When VIX is relatively high the VIX term structure moves into what we commonly refer to as backwardation.  The way this may be defined varies among market participants, but most focus on the shorter end of the VIX curve.  That is what I’ve been doing lately as well.  It turns out, regardless of how you […]

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