Category Archives: Futures and Options

Brackets and Defense – LOVOL and VXTH Indexes (that Bought VIX Calls) Had Lower Volatility

Over the past two months, there has been increased interest in (1) portfolio protection strategies (2) learning more about prudent uses of VIX® futures and options, and (3) following brackets. To tie all these topics together, below is a new bracket with 8 benchmark indexes that shows that two indexes that buy VIX call options […]

VIX Options and Futures Weekend Review for March 18, 2018

VIX gained a bit (about 8%) last week as the S&P 500 was under pressure.  The curve shifted in a pretty uniform manner with March adding just over 3% as contango was fairly steep on Friday the 9th.  As a friendly reminder, March contracts settle on the open this coming week. Short volatility has gotten […]

VIX Options and Futures Weekend Review for February 11, 2018

For the past few months writing this weekend review has been a difficult task.  How many different ways can I say VIX is low and reflecting low realized volatility in the S&P 500?  The past couple of weeks it has suddenly gotten much easier to talk about VIX. Last week was the first one week […]

Volatility Index and ETP Weekend Review for February 12, 2018

We experienced the biggest one week drop in two years last week for the S&P 500.  The result was the type of moves we haven’t seen in S&P 500 related volatility indexes since August 2015.  We got a 67% gain for VIX last week, with VIX3M gaining 46% and VXMT was 32% higher.  The result […]

Biggest-Ever One-Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran

Feb. 5, 2018 – Today was the second trading day in a row on which there was very strong volume on Cboe Global Markets’ options exchanges and futures exchange. Today there were record-breaking one-day percentage moves for both the Cboe Short-Term Volatility Index (VXST), which rose 214.6% to close at 59.34, and for the popular […]

Volatility Index and ETP Weekend Review for February 4, 2018

Of the four volatility indexes on the term structure chart below two have been around the longest.  Of course VIX with the other being VIX3M (formerly known as VXV).  The relationship between the 1-month volatility index and 3-month version usually has VIX at a discount to VIX3M.  Friday this relationship flipped for the first time […]

VIX Futures and Options Weekend Review for February 4, 2018

Last week VIX gained over 50% for the first time since August last year.  We all know most of this came Friday with the S&P 500 losing just over 2% on the day.  The obituaries being written about VIX after a historically tame year last year may have been a bit premature. Friday was a […]

Today the VIX Index Rose 28.5% and VIX Options Set a New Daily Volume Record – By Matt Moran

FRIDAY, FEB. 2, 2018 – The financial markets experienced some big moves today as investors’ had increased concerns about the possibility rising interest rates and inflation. BIG PRICE MOVES – Today the S&P 500 (SPX) Index fell 2.1%, the Cboe VIX of VIX Index (VVIX) rose 18.7%, and the Cboe Volatility Index® (VIX®) rose 28.5% […]

Weekend Review of VIX Futures and Options – 1/28/2018

VIX was lower last week, but that’s the only thing that lost value on the table / term structure chart below.  All the futures moved higher despite VIX moving lower, but also shaking off a very bullish week for the S&P 500.  We live in unusual times and there is much being written about the […]

Weekend Review of Volatility Indexes and ETPs – 1/28/2018

Three out of four volatility indexes that based their levels on SPX option trading were higher last week.  VIX was the lone loser with 9-day, 3-month, and 6-month volatility indexes all moving higher. The long volatility linked ETPs, based on US volatility, were all higher last week.  Note things were different in Europe as EVIX […]

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