Category Archives: Research

A Little More of VIX in 2014

Yesterday I posted a blog about VIX price action in 2014 and compared it to different levels from 2004 – 2013.  Justin Pulitzer (@justinpulitzer) noted via a tweet that 2008 – 2009 probably skewed the highs on the chart that I produced and discussed last night.  Based on that tweet I was prompted to take a look at […]

Comparing 2014 VIX and VIX from 2004 – 2013

With all the talk about VIX not acting right (I don’t use the word broken) you would think that someone had written a book criticizing the fear index.  My feeling has been that VIX is doing what it is supposed to do and that is measure the implied volatility of index options that are listed […]

VXST Options to Launch April 10 – By Matt Moran

April 8, 2014 – CBOE plans to launch options on the CBOE Short-Term Volatility Index (VXST) on Thursday, April 10.  Below are points that can help in your analysis.  Much more information is available at www.cboe.com/VXST. 1.    VXST INDEX – The VXST Index is based on real-time prices of options on the S&P 500 Index […]

Bracketology – Biggest One-day Moves for VXST (up 81.7%) and GVZ (up 61.7%) – By Matt Moran

While many U.S. sports fans are bemoaning the fact that their NCAA basketball brackets have been demolished, options fans can always look to volatility indexes for intriguing comparisons that can help hone their trading and investment strategies. Below are two newly constructed brackets that use CBOE data. BIGGEST ONE-DAY MOVES One of the top reasons […]

The VIX Factor

After a strong 2013, the US equity market took a dive in January 2014 and dropped more than 3%. Is it a temporary market correction or something more substantial? Everyone has his own answer. Regardless of your outlook of the market, January has reminded us that market volatility is still one of the major risks […]

Record Volume Month for SPXW and VIX Options, and VIX Futures – By Matt Moran

In the month of January 2014, monthly volume records were established by S&P 500 Weekly options (SPXW), and by both options and futures on the CBOE Volatility Index® (VIX®). SPXW options had average daily volume of 278,537 in January. S&P 500 Weekly options are PM-settled on the last trading day, typically a Friday. As with […]

Today VXST Index Rose 47%, and SPX Weeklys Hit All-time High Volume – By Matt Moran

January 24, 2014 – Today the CBOE Short-term Volatility Index (VXST) rose 6.63 points to close at 20.84 (a 47% rise), and the CBOE Volatility Index (VIX) rose 32% Yesterday (Jan. 23) the daily volume for the S&P 500 Weeklys options (SPXW) hit an all-time high of 426,955 contracts. Today (Jan. 24) reported estimated volume […]

30th Annual RMC: Expert Speakers on March 17 – 19 in Florida

The agenda for the Thirtieth Annual CBOE Risk Management Conference (RMC) now is available at http://www.cboermc.com/agenda/ RMC is the premiere financial industry conference designed for institutional users of listed options and volatility products. The 30th Annual CBOE RMC will be held March 17 – 19 at the Hyatt Regency Coconut Point in Bonita Springs, Florida.  […]

Record Volume in 2013: VIX Futures Up 67%, and SPX Options Up 19% — By Matt Moran

JAN. 2, 2014 – Average daily volume for three key index contracts – options on the S&P 500 Index (SPX), and futures and options on the CBOE Volatility Index (VIX) — all rose to new record levels in 2013. VIX options established new record high levels for trading volume in each of the seven years […]

In 2013 GVZ “Gold Vol” Index Rose 50.6%, with 15,950 Futures Volume — By Matt Moran

JAN. 1, 2014 – While many stock indexes rose substantially in the year 2013, gold spot prices and the SPDR Gold Shares ETF (GLD) both fell 28% in the year, and the CBOE Gold ETF Volatility Index (ticker GVZ) rose 50.6%.    Viewing the chart above, the two biggest one-day moves in the year for the […]

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