Category Archives: Volatility

Focus on VIX Class to be Hosted at CBOE Options Institute

The CBOE Options Institute is hosting the first in a series of classes that will focus on different aspects of option and volatility trading. The first class, appropriately named Focus on VIX and Volatility Products, will be held on Friday August 19th at CBOE. For those unable to make it to Chicago the class is […]

Weekend Review – Volatility Indexes and ETPs – 7/17/2016

Short term volatility was the big loser among the four S&P 500 related volatility indexes as VXST lost over 10% last week.  This was more than two times the drop in VIX and more than three times the drop in VXV and VXMT.  The result is a pretty darn steep curve indicating concerns about the […]

What is Volatility Saying about the Price of Gold?

I’ve kept my eye off gold this year and boy have I missed a ride. The GLD ETF is up about 28% in 2016 which leaves most markets in the dust. Apparently #Gold is a trending topic today on Twitter as well. S0 even though the shiny metal is higher, is there any opportunity being anticipated for […]

Weekend Review – VIX Options and Futures – 7/10/2016

VIX finished the week at 13.20 – only 0.10 higher than lowest 2016 close of 13.10.  The front month (July) futures contract was down slightly more than VIX this past week.  Anecdotally I’ve noticed in the past when we see VIX down significantly in reaction to the employment number that the front month contract seems […]

Weekend Review – Volatility Indexes and ETPs – 7/10/2016

I was participating in the Vol Views podcast Friday around lunch time and decided to take a look at the whole suite of volatility indexes and see if anything was higher.  None of the 29 volatility indexes CBOE quotes were higher at that time and none of them finished higher on Friday.  The list below […]

Weekend Review – Volatility Indexes and ETPs – 7/3/2016

In hindsight volatility definitely overshot to the upside in response to Brexit and the price action on Monday where VIX and the S&P 500 both moved lower together was a sign of things to come last week. The 42.66% drop in VIX was the biggest week over week drop on record (going back to 1990). […]

Weekend Review – VIX Futures and Options – 7/3/2016

The curve below is what happens when you have the biggest week over week drop for VIX on record. The 42% loss in VIX shattered the previous largest drop of 36.53% which occurred in the last week of 2012. Not so coincidentally both were weeks before a three-day weekend. Late Monday, with the July VIX […]

First Half of 2016 Confirms Higher Volatility Regime

We are already half way done with 2016 and it appears what we thought going into the year is being confirmed by SPX implied volatility. If the Fall of 2015 there was lots of chatter about the equity markets in the US shifting from a low to a high volatility regime. The low volatility regime […]

Weekend Review – Volatility Indexes and ETPs – 6/26/2016

Global stocks took it on the chin Friday after the outcome for the vote in Britain determined that the majority of voters want to break from the European Union. Usually I show the week over week change for VXST, VIX, VXV, and VXMT to lead off this blog. Because the week over week change doesn’t […]

Weekend Review – VIX Futures and Options – 6/26/2016

On Thursday the world appeared to have dodged a bullet, but much like counting your chickens before the hatch, the market reacted a little too quickly and early to the assumed outcome of the EU referendum in Britain. The result was Friday which does not need to be rehashed here. The week over week changes […]

  • CATEGORIES

  • Recent Comments

  • Tags