background

Category Archives: Education

Vol Indexes Up +17% So Far This Month – VHSI, VCAC, and VXEWZ – By Matt Moran

Matt Moran
Vice President
CBOE
June 15 - 12:16 am
Comments: 0

June 14, 2013 — Volatility indexes that have risen more than 17% so far this month include the VHSI – HSI Volatility Index (Hong Kong), the VCAC – CAC-40 Volatility Index (France), and the VXEWZ – CBOE Brazil ETF Volatility Index. On the other hand, the OVX – CBOE Crude Oil Volatility Index has fallen [...]

Also posted in Financial Markets, Futures and Options, Performance, Research, VIX, Volatility | Tagged , , , , , , , , | Leave a comment

New CBOE/CBOT 10-year U.S. Treasury Note Vol. Index (VXTYN) by Matt Moran

Matt Moran
Vice President
CBOE
May 23 - 7:41 pm
Comments: 0

May 23, 2013 — Today a press release announced that CBOE began disseminating values for a new volatility benchmark index using futures options data on CME Group’s 10-year U.S. Treasury note contract.  The CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM (ticker symbol VXTNYSM) is the first volatility index based on U.S. government debt to be [...]

Also posted in Futures and Options, Uncategorized, VIX, Volatility | Tagged , , | Leave a comment

Consumer Sentiment Index Hits Highest Level Since 2007 – By Matt Moran

Matt Moran
Vice President
CBOE
May 17 - 8:22 pm
Comments: 0

May 17, 2013 — A report on Bloomberg news on Friday noted that –  “Consumer confidence rose in May to the highest level in almost six years as an advancing stock market and cheaper gas prices helped lift Americans’ outlook on the economy.   The Thomson Reuters/University of Michigan preliminary index of consumer sentiment rose to [...]

Also posted in Performance, Research, VIX, Volatility | Tagged , , , | Leave a comment

SPX Tops Its First 100-Point Milestone in 13 Years – By Matt Moran

Matt Moran
Vice President
CBOE
May 7 - 1:33 am
Comments: 0

An interesting way to look at trends in the S&P 500® (SPXTM) Index is to look at the dates on which it first closed above its 100-point milestones. As shown in the table below, the SPX first closed above 200 in Nov. 1985, above 500 in March 1995, above 1000 in Feb. 1998, and above [...]

Also posted in Economic Data, Futures and Options, Performance, Research, VIX, Volatility | Tagged , , | Leave a comment

Volatility Skewness Can Impact Hedging Costs – By Matt Moran

Matt Moran
Vice President
CBOE
April 16 - 9:31 pm
Comments: 0

On Monday April 15th — the price of gold plunged 9.4% (its biggest daily drop in 30 years), the price of silver fell 11.3%, the CBOE Gold ETF Volatility Index (GVZ) rose 61.7% (a record one-day move), and new all-time records were established for daily trading volumes for VIX® futures, VIX options and GVZ futures.  [...]

Also posted in Futures and Options, Performance, Research, VIX | Tagged , , , | Leave a comment

Record Daily Volume for GVZ and VIX Futures, as GVZ Jumps 61.7% – By Matt Moran

Matt Moran
Vice President
CBOE
April 16 - 12:03 am
Comments: 0

MONDAY, APRIL 15 — More one-day records were set today – Futures on the CBOE Volatility Index® (VIX®) set an all-time single-day volume record of an estimated 449,955 contracts. CBOE Gold ETF Volatility Index (GVZ) futures contract traded a single-day record of an estimated 1,488 contracts. GVZ – CBOE Gold Volatility Index had an all-time [...]

Also posted in Futures and Options, Performance, Research, VIX, Volatility | Tagged , , | Leave a comment

Total VIX Futures Volume Sets Record for 3rd Month in a Row By Matt Moran

Matt Moran
Vice President
CBOE
April 1 - 9:41 pm
Comments: 0

A record 3,220,977 futures contracts on the CBOE Volatility Index® (VIX®) traded during March, exceeding the 3,062,344 contracts traded in February (the previous record) by five percent. March’s VIX futures volume rose by 64 percent when compared to the 1,963,893 contracts traded a year ago.  VIX futures have set all-time total volume records for three [...]

Also posted in Futures and Options, Performance, VIX, Volatility | Tagged , , , | Leave a comment

All-time High Closing Values Today for VPD, VPN, and 6 Other Indexes By Matt Moran

Matt Moran
Vice President
CBOE
March 29 - 12:44 am
Comments: 0

March 28, 2013 – Below are the closing values and CBOE microwebsite addresses for eight indexes that hit their all-time daily closing highs today (the last trading day of the quarter) – 236.99                   VPD – CBOE VIX Premium Strategy Index            www.cboe.com/VPD 234.23                   VPN – CBOE Capped VIX Premium Strategy Index             www.cboe.com/VPN 158.11                   VXTH – CBOE VIX [...]

Also posted in Performance, Research, VIX, Volatility | Tagged , , , , , | Leave a comment

European Vol Indexes (VSTOXX and VCAC) Up More Than 27% Since Mid-March By Matt Moran

Matt Moran
Vice President
CBOE
March 26 - 6:45 pm
Comments: 0

MARCH 26, 2013 –Since the banking crisis in Cyprus began in mid-March, investors have asked – How nervous are the markets in Europe and worldwide? and – How can I manage my worldwide portfolio exposure? Investors now have more tools to track and manage worldwide volatility and portfolio exposure.  CBOE offers 20 indexes designed to [...]

Also posted in Performance, Research, VIX, Volatility | Tagged , , , | Leave a comment

Last Week’s VIX Action by Russell Rhoads, CFA

Russell Rhoads
Instructor
CBOE
February 12 - 11:36 am
Comments: 0

Both the S&P 500 and NASDAQ-100 were up slightly last week and both VIX and VXN were up as well.  That is where the similarity between VIX and VXN action ends.  Despite a higher VIX, all VIX futures contracts were lower on the week.  It appears that risk farther out on the curve is finally [...]

Also posted in Futures and Options, Performance, VIX, Volatility | Leave a comment

  • categories

  • Recent Comments

  • tags