Category Archives: VIX

On Election Eve, Volatility Indexes for Stocks, Gold, Currencies & Volatility Fall By More than 8% (after Record 9-Day Up-Streak)

NOV. 7 – Last week I heard about quite a bit of new interest in portfolio protection strategies, and on November 4 the CBOE Volatility Index® (VIX®) rose on a ninth consecutive day (a new all-time record for the VIX Index over its price history dating back to January 1990). However, today (the date before […]

Volatility History Lesson – The 2012 Election

I’ve been getting lots of questions with respect to how volatility acts around US elections.  We don’t have a lot of history to work with, but we do have data on how the four volatility indexes based on SPX option trading did four years ago.  I did a little digging and reconstructed the VXST – […]

The Election and Sector Volatility

So, last week I looked at the implied volatility of various option markets that expired just before and just after next week’s election.  You can read all about that here.  Of course, as we all know, things changed a bit last Friday.  When things change, I start running numbers.  First I updated the table from […]

Weekend Review – VIX Futures and Options – 10/30/2016

VIX had a pretty stellar week, aided by the new on Friday, to finish over 20% higher. Spot VIX may be buying into a new scandal, but the futures did not.  The curve is as flat as it has been in months which tells me traders expect this move in VIX to be short lived. […]

Weekend Review – Volatility Indexes and ETPs – 10/30/2016

As a good number, but not all (some of us are White Sox fans) of the traders on the floor at CBOE were starting to think about where they were going to be that evening to watch Game 3 of the World Series, some news broke that shook the equity markets.  I don’t need to […]

VVIX Index Spikes 21% on News of Investigation – By Matt Moran

OCT. 28 – On Friday afternoon a news story at wsj.com noted that – “Worries about a surprise election outcome resurfaced anew in financial markets on Friday afternoon after the Federal Bureau of Investigation uncovered new evidence in its investigation of Democratic presidential candidate Hillary Clinton‘s email server. … The news sent ripples through stocks, […]

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 […]

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