Category Archives: Futures and Options

Weekend Review of VIX Futures and Options – 6/25/2017

VIX was a bit lower to end the week and the curve moved down as well.   We retired June last week and now July is the front month and is at a premium of just over 1.80 to finish the week. Before getting into a trade I would like to point out some heavy activity […]

Weekend Review of Volatility Indexes and ETPs – 6/25/2017

VXST was slightly higher while the rest of the SPX related volatility indexes dropped last week.  All moves were relatively small as we have truly entered the summer doldrums, at least for broad based index volatility. There’s very little exciting on the table below.  TYVIX bumped up slightly, but is still at very low levels.  […]

Weekend Review of VIX Futures and Options – 6/18/2017

VIX gave volatility bulls a little hope on Monday rising to the highest intra-day level since VIX was receding from the news flow that followed the firing of Comey by Donald Trump in the middle of May.  However, as is the norm, VIX dropped and worked lower with the curve following in suit. As Monday […]

Weekend Review of Volatility Indexes and ETPs – 6/18/2017

As the week came to a close VXST which measures 9-day volatility expectations took a dive.  Hence the big drop on the left side of the VXST – VIX – VXV – VXMT diagram below. TYVIX finished the week below 4.00 which was a first for 2017, but not outside of the long term historical […]

Weekend Review of VIX Futures and Options – 6/11/2017

VIX was higher by about 10% last week, but that did not have much of an impact on the rest of the term structure.  The futures were mixed which can be attributed to just how steep the VIX curve was going into the week. Before things turned to the upside on Friday we experienced the […]

Weekend Review of Volatility Indexes and ETPs – 6/11/2017

That little bump in VXST that shows up on the far left side of the diagram below can be attributed to Friday afternoon activity.  VXST rose 0.75 Friday while VIX was up 0.54.  Shorter dated SPX option pricing is used to calculate VXST than VIX.  It may be the weakness Friday afternoon in large cap […]

Weekend Review of Volatility Indexes and ETPs – 5/28/2017

VXST closed Friday at an all-time low of 7.60 which sounds impressive until you hear that for VXST the history we have to work with only goes back to 2011.  I am going to make a bold prediction and say that VXST will move higher when the market reopens on Tuesday.  Read that as sarcasm […]

Weekend Review of VIX Futures and Options – 5/28/2017

VIX finished the week at 9.81, just a tad above the post 2008 lows put in earlier this month.  The June 2017 VIX cycle is five weeks long so there’s still plenty of time until June 21st expiration.  The result is one of the steepest curves a can recall in the six years of posting […]

Weekend Review of VIX Futures and Options – 5/21/2017

The term structure and payoff below does not do any justice to what those of us that focus on VIX and related markets this past week.  In fact, when the dust settled, all the standard futures were hardly changed on the week. Just to record what did happen last week I made a second term […]

Weekend Review – Volatility Indexes and ETPs – 5/21/2017

The week over week VXST – VIX – VXV – VXMT curve moved higher and appears to have done so in a very parallel fashion.  Since the week over week change doesn’t do the actual activity justice so I added the Wednesday closing curve to the graphic below. I was honestly a little surprised at […]

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