Category Archives: Futures and Options

Record Volume Month for VIX Futures

Nov. 1st – The CBOE Futures Exchange, LLC (CFE®) announced today that trading in futures on the CBOE Volatility Index® (VIX®) reached an all-time volume high for any month in its history. During October, a record 2,443,878 VIX futures contracts changed hands, beating the September record of 2,400,552 contracts. VIX futures average daily volume (ADV) […]

Trading VIX – Trade-off between Liquidity, Beta Exposure and Roll Cost

Besides commodities, volatility is another example of the application of futures-based indices. Spot volatility, as measured by the VIX, is not tradeable as the index represents the weighted average of implied volatilities of various options on the S&P 500. Prior to the introduction of VIX futures on the Chicago Board Options Exchange in 2004, equity […]

25 Years Ago, the VXO Index Topped 150

Twenty-five years ago, on October 19, 1987, the S&P 500 Index (SPX) fell by 20.5%, and the CBOE S&P 100 Volatility Index (VXO) rose by 313% to close at an all-time daily closing high of 150.19. Below are key values for seven trading days in October 1987 — VXO INDEX – 25 YEARS AGO – […]

VXAPL Index Up 97%, as Apple Puts Become More Expensive

October 5, 2012 – The CBOE Equity VIX® on Apple (VXAPL) has risen from an intraday low of 18.81 on August 13, 2012, to a closing value of 37.03 today, a rise of 97%. An October 4th Bloomberg news article by Cecile Vannucci and Nikolaj Gammeltoft notes that — “Apple Puts Jump to 10-Month High […]

Recap of Oct. 2nd Panel on Managing Risk and Yield

On October 2nd 85 financial professionals attended a panel discussion at CBOE on “Managing Risk and Yield in a Low Interest-rate Environment: Options-based and Low Volatility Strategies.” The three panelists were —  (1) Mr. Scott Maidel, CFA, CAIA, FRM, senior portfolio manager in the equity derivatives group for Russell Investments and co-portfolio manager of the […]

VIX Presentations in NYC (Oct. 18) and Boston (Oct. 25)

As shown in the charts below, both VIX® futures and VIX options are experiencing all-time record high average daily volumes this year.   While interest in VIX is high, many investors remark that they would like to learn more about VIX and volatility.  Presentations on Accessing VIX and Volatility will be delivered in New York and […]

OVX/VIX Ratio Rises Above 2.2

Sept. 27 – Investors can gain valuable insights into the relative costs of various options positions by comparing the values of key volatility indexes.  On Thursday the closing values for three volatility indexes were — 33.05             OVX – CBOE Crude Oil Volatility Index 17.07             VXV – CBOE S&P 500 3-Month Volatility Index 14.84             VIX® – […]

VXTH Index and Panel on Oct. 2nd

Three financial experts will discuss the topic ‘Options for Managing Risk and Yield in a Low Interest-rate Environment’ at a panel discussion to be held from 5:00 p.m. to 6:30 p.m. on Tuesday, October 2nd on the fourth floor of the Chicago Board Options Exchange (CBOE), 400 South LaSalle Street, Chicago. The three panelists will […]

This Week in VIX and VXN Trading

Both the S&P 500 and Nasdaq-100 Indexes were higher last week. Neither VIX nor VXN followed the typical inverse relationship with the underlying indexes and actually finished the week higher as well. On the open Friday, the S&P 500 was higher and VIX was under pressure trading around 13.50. I saw several twitter comments predicting […]

This Week In VIX Options and ETNs

This past week the S&P 500 rose almost 2% on the week and in a strange twist VIX was higher on the week as well.  Friday’s action contributed to a corresponding rise for VIX on the week as it appeared portfolio managers may have been in the market for portfolio protection through buying SPX puts.  […]

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