Category Archives: Research

Big Week for VIX re: Backwardation, Big Moves and Volume, ETH, Put/Call Ratio, and Bollinger Bands – by Matt Moran

After the news broke last Sunday (June 28) regarding the closing of banks in Greece, worldwide markets for stocks and oil plunged, and investors sought assets that could rise and serve as diversifiers. The VIX® July futures prices responded by rising from 14.525 on June 26 to 17.375 on the next trading day (June 29). […]

26 Volatility Indexes in 2014 – OVX (Oil VIX) Rose 183%; SKEW Index Averaged Highest-ever 129.8 – By Matt Moran

Dec. 31, 2014 – Highlights of the year 2014 in volatility include the following – In the 2nd half of the year crude oil prices fell, and the CBOE Crude Oil Volatility Index (OVX) rose 183% during the full year. While the average daily close for the CBOE Volatility Index® (VIX®) was 14.2 for the […]

Oil VIX Is Up 209% and Brazil VIX Is Up 45% in 2014 Y-T-D – By Matt Moran

Dec. 22, 2014 – During the financial crisis of 2008, many investors bemoaned the fact many asset classes fell as the correlations among several asset classes rose. Since 2008 investors have searched for investments that have diversification potential in times of market stress. So far in 2014 (through December 22) – The CBOE Crude Oil […]

OVX (Oil VIX) Rose Record 119%, GVZ (Gold VIX) Up 96% in Past 3 Months – By Matt Moran

Over the past three calendar months (September through November) — The CBOE Crude Oil ETF Volatility Index (OVX) rose 119%, the highest percentage rise for OVX over three calendar months since the inception of OVX price history in 2007. The OVX Index is a measure of the market’s expected future volatility of the United States […]

Gauges for Tools for Portfolio Protection – VIX, SPX, SKEW, and Term Structure – By Matt Moran

Nov. 17, 2014 – When I deliver presentations on portfolio risk management to groups of financial professionals, one of the most frequent questions is “What is a better hedge for a portfolio – VIX calls or SPX puts?” A 30-page paper by Morgan Stanley in June 2014 suggested that “VIX calls are best used to […]

Futures on Interest Rate Volatility Index (VXTYN) To Launch on Nov. 13 – By Matt Moran

Nov. 6, 2014 – A CBOE Holdings press release today noted that CBOE Futures Exchange (CFE) will launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) on Thursday, November 13. Futures on the VXTYN Index offer customers a way to hedge pure interest rate volatility risk based on U.S. government debt […]

October Recap – Biggest One-Day Changes – VXTYN Up 22.3%; VXEWZ Down 46.2%; VXST Up 48.2% – By Matt Moran

This past month was one of the most volatile months of the past three years, as the CBOE Short-Term Volatility Index (VXST) rose 48.2% on October 9, and the CBOE Brazil ETF Volatility Index (VXEWZ) hit its all-time daily closing high of 72.83 on October 20 (before the re-election of Dilma Rousseff as President of […]

Options Average Daily Volume Up This Month – 1.3 Million for SPX and 1 Million for VIX – By Matt Moran

I recently showed a chart with the yearly growth in volume in options on the CBOE Volatility Index® (VIX®) to a senior executive at a financial services firm, and the executive said that the VIX options volume strong growth in recent years was hard for him to believe, in light of the fact that the […]

VXEWZ Index at All-time High of 72.83 As Brazilian Election Nears – By Matt Moran

Oct. 20, 2014 – Today’s closing price was an all-time daily closing high of 72.83 for the CBOE Brazil ETF Volatility Index (VXEWZ), which reflects the implied volatility of the EWZ ETF. Futures and options on the VXEWZ Index provide investors with tools to manage exposure to Brazil, the EWZ ETF, and related volatility. A […]

This Week VXST Index Rose 58.4% and VIX Index Rose 46% – By Matt Moran

This week the CBOE Short-Term Volatility Index rose 58.4%, the CBOE Volatility Index® (VIX®) rose 46%, and the S&P 500 Index fell 3.3%. More investors are looking to use volatility-based products to diversify and manage risk in their portfolios, as the preliminary estimates for the Oct. 10 (Friday) trading volumes were 1.56 million for S&P […]

  • CATEGORIES

  • Recent Comments

  • Tags