Category Archives: Research

Mid-year Update: VPD Index is Up 7.6% Y-T-D, as SPX Historic Volatility Falls to 6.2 – By Matt Moran

JUNE 30, 2014 – As we reach the half-way point in 2014, here is an update on some key investment and volatility-related topics – 1. BENCHMARK INDEXES. In the first half of 2014, the CBOE VIX Premium Strategy Index (VPD) rose 7.6%. The VPD Index tracks the performance of a strategy that systematically sells 1-month […]

CBOE SKEW Index Rose to 143.26, Its Highest Level Since 1998 – By Matt Moran

The median of the daily closing values of the CBOE Volatility Index® (VIX®) so far this year has been 13.7, which is below the long-term median value of 18.3 for the VIX since 1990. The fact that the VIX lately has been below its long-term median has led some people to ask whether there now […]

VIX Futures Now Round-the-Clock, as ETH Volume Tops 1.68 Million Y-T-D — By Matt Moran

Futures on the CBOE Volatility Index® (VIX®) now are available nearly 24 hours a day, five days a week (see below for more details). Trading volume for VIX futures during Extended Trading Hours (ETH) has topped 1.68 million contracts so far in 2014. The charts below show key daily values in 2014 that you could […]

SPX Historic Volatility Falls To 6.89, Its Lowest Level Since Jan. 2011 – By Matt Moran

JUNE 23, 2014 – Today the 30-day historic volatility of the S&P 500® (SPX) Index fell to 6.89, its lowest level since January 2011, according to Bloomberg calculations. Chris Dietrierich of the Wall Street Journal wrote – “… The Dow Jones Industrial Average has gone 32 months without a 10% decline, the fifth-longest run on […]

RMC Europe to Feature Speakers from BlackRock, Parametric, et al. – By Matt Moran

The 3rd Annual CBOE Risk Management Conference (RMC) Europe will be held at the beautiful Powerscourt Hotel, Enniskerry, County Wicklow, Ireland, on Sept. 3 – 5, 2014. The tentative agenda for RMC Europe is posted at http://www.cboermceurope.com/agenda, and a list of select speakers also is below in this Blog. The many topics to be covered […]

Is the VIX “Low”? SPX Historic Volatility Plunges to 7.88 – By Matt Moran

FRIDAY, MAY 30, 2014 – Lately I have heard inquiries from some stock investors as to whether the CBOE Volatility Index® (VIX®) recently has been at “low” levels; today it closed at 11.40. VIX is a reflection of the market’s expectations regarding future stock market volatility. To gain insights as to what expected volatility could […]

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 […]

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