Category Archives: VIX

Last Week in VIX – 5/24/2015

The VIX futures curve was lower last week with June losing more than the index or other futures as it was awarded the official title of “Front Month” with May VIX futures and options settling on the open Wednesday. Below I’ve changed things up a bit and the comparison is a year over year look […]

Last Week in Volatility Indexes and ETPs – 5/24/2015

The S&P 500 moved up a little last week and the volatility curve moved lower. On the shorter dated end of the volatility term structure chart, there was the three day weekend effect which helped push VXST and VIX a tad bit lower than would be expected in front of a normal two day weekend. […]

Last Week in VIX – 5/17/2015

There was a fairly parallel shift lower in spot VIX and VIX futures pricing as there wasn’t much to get excited about last week. The May VIX future dropped a little more than the spot index as expiration is just around the corner. Despite the almost 5% drop in the May contract, the premium relative to spot VIX […]

Last Week in Volatility Indexes and ETPs – 5/17/2015

There was a slight shift in the VXST – VIX – VXV – VXMT term structure last week. VXST and VIX were down, VXV was actually up slightly and VXMT dropped. Relative to history, VXV and VXMT are higher than you would expect with the S&P 500 making all-time highs. I’m convinced the market is […]

The Essence of VIX: What You Really Need to Know

What is the essence of VIX? This may seem like an abstract, philosophical question, but I can assure you it is not. It is a practical one, and if you can understand what makes VIX unique, you will know why this index matters so much. Informed investors know that VIX: Employs a wide range of options […]

The Big VIX Roll from May 11th – Part 2

I get to CBOE each morning about 7:15 and by 7:16 I was running around the floor trying to find out a little more about the VIX roll from yesterday. First, I’ll start at the beginning. It appears this all began back on April 10th when the trade that got rolled forward yesterday was opened. Back […]

Large VIX Ratio Call Spread Rolled from June to July Today

It appears one volatility trader believes a spike is on the horizon for VIX, but altered the timing of their outlook today. They were prepared for a move to the upside before June expiration, but rolled their position out to VIX options expiring July 22. The specific position was long 180,000 VIX Jun 17 Calls […]

Last Week in VIX – 5/10/2015

VIX was slightly higher and the futures were mostly lower with a couple of exceptions last week. There was a bit of excitement in the middle of the week so I included an extra piece to the graph below and decided to show Wednesday’s highs for VIX and the futures market.  If I had not […]

Last Week in VIX- 4/20/2015

We closed a chapter in VIX history with the April 2015 contract going off the board last week and May stepping in to be the new front month. May finished the week over a point closer to the spot VIX index as VIX rose over 10% and the May future only gained about 1.6%. About 45 […]

Last Week in Volatility Indexes and ETPs – 4/20/2015

Despite an ugly Friday both VXST and VIX remains pretty low relative to recent levels. I again included the 2014 average closing levels to the chart below. This inclusion isn’t so much about noting VIX is lower, but that VXV (3 month volatility) moved above the 2014 average and VXMT (6 month volatility) remains higher […]

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