Category Archives: Futures and Options

Weekend Review – VIX Options and Futures – 9/11/2016

The streak of SPX doldrums came to an end on Friday with the orderly drop of over 50 points for which resulted in VIX rising to 17.50.  Everything worth noting happened on Friday which may have added to the angst that resulted in the S&P 500 closing near the daily lows and VIX closing near […]

Weekend Review – Volatility Indexes and ETPs – 9/11/2016

VXST more than doubled as a function of the index being depressed in front of the three-day weekend and then in reaction to Friday’s SPX sell off.  As would be expected, the rest of the VXST-VIX-VXV-VXMT curve moved higher as well, but outside of VXST relative to VIX we are still in a state of […]

Weekend Review – VIX Options and Futures 9/4/2016

VIX finished the week just under 12.  We can attribute this to a combination of the equity market being pleased by Friday’s August Non-Farm Payroll report along with the three-day weekend effect.  Note the September futures, which settle on the 21st moved lower, but held up a bit relative to spot VIX.  This is common […]

Weekend Review – Volatility Indexes and ETPs 9/4/2016

The VXST – VIX – VXV – VXMT curve does what it normally does on a pre three-day weekend week and got steeper.  It’s been a while since I ran the numbers but I’m fairly certain VXST almost always drops before a holiday weekend and then rebounds when we all return to work refreshed and […]

Sept. 22 Webinar – Case Studies on Institutional Investor Use of VIX

On Thursday, September 22 at 2:00 p.m. E.T., S&P Dow Jones Indices and CBOE will co-host a complimentary webinar for financial professionals on the topic of — How are Institutional Investors Using VIX®?  Financial professionals who wish to register and see more information are welcome to visit this link — http://bit.ly/VIX-Sep22. The panel will cover: […]

Weekend Review – VIX Futures and Options – 8/21/2016

VIX dropped a little as the equity market did a whole lot of nothing last week.  We retired the August contract on the open Wednesday morning and September took over as the front month.  With time to go to expiration (this is actually a five-week cycle) everyone seemed to notice the steep contango again.  What […]

Focus on VIX Class to be Hosted at CBOE Options Institute

The CBOE Options Institute is hosting the first in a series of classes that will focus on different aspects of option and volatility trading. The first class, appropriately named Focus on VIX and Volatility Products, will be held on Friday August 19th at CBOE. For those unable to make it to Chicago the class is […]

Weekend Review – Volatility Indexes and ETPs – 7/24/2016

VIX was the biggest mover among the four S&P 500 related volatility indexes this past week.  VIX dropped more than 5% while VXST lost 0.39% and VXV was down 1.19%.  Longer dated volatility actually rose last week with VXMT gaining 0.28%.  The curve remains very steep which I’m taking as uncertainty abounding with respect to […]

Weekend Review – VIX Futures and Options – 7/24/2016

Last week VIX broke the 12 level, which surprised some market participants who felt 2016 was going to be a roller coaster ride that kept VIX at elevated levels.  I have already spent time on the Wall of Shame as I count as someone who felt VIX was spend more time around 20 than it […]

Weekend Review – VIX Futures and Options – 7/17/2016

With VIX testing 2016 lows this past week the soon to be retired July future headed lower at a slightly faster rate than VIX dropping 6.43% versus 4.02%.  Even with the bigger loss on the week the July contract finished the week at more than a one premium to VIX.  We will see on Wednesday […]

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