Category Archives: Volatility

VIX Action Today – 7/31/2014

Today was a heck of a day in the equity markets. We got our biggest on day S&P 500 drop in a few months and the first down month for the S&P 500 since January (I bet you forgot the January Effect indicator was bearish for 2014 – I admit I did). The result was […]

VXST Futures and VIX Index Both Rose More Than 26% Today – By Matt Moran

July 31, 2014 — In a July 26 piece that now looks as if it could be rather prescient, in last weekend’s Barron’s Striking Price Column, Steve Sears wrote – “BlackRock, the world’s largest asset-management firm, is telling clients that equity-options volatility is now the last cheap asset class in the financial market. With the […]

VIX Last Week – 7/27/2014

VIX rose over 5% last week despite the S&P 500 being basically flat on the week. There could be some of that anticipation we see in VIX (as opposed to reacting to the market) in front of big economic events and this coming week is full of those events. The FOMC rate announcement comes out […]

Emerging Market Volatility Last Week – 7/27/2014

The state of emerging markets is strong. EEM rose 1.4% last week and is up just a tad under 8% for 2014. After the underlying market put up a strong week VXEEM made a surprising move and rose over 5% – I’ll attribute this move up to the index already being pretty low and a […]

VXST Last Week – 7/27/2014

I like being surprised and perplexed when I look at the week over week changes in volatility indexes. What has me really scratching my head is the difference between VXST and VIX. VXST was down slightly last week while VIX rose over 5%. That’s where I start to wonder what is up. I could understand […]

Gold and Oil Volatility Last Week – 7/27/2014

Checking with top people at the Rhoads family reunion this weekend, the feeling is that Gold is moving up, that is if more buyers than sellers show up.   In reality the published pundits seem to have a bearish outlook for the yellow metal. As for me, I just hope it breaks out in one direction […]

Russell 2000 and Nasdaq-100 Volatility Last Week – 7/27/2014

I write this from the middle of Tennessee at a family reunion. I do not say this to elicit sympathy, but understanding as I have not been watching the markets as closely as I normally do. I noticed that the Nasdaq-100 had a nice week and VXN dropped as one would expect. In fact, after […]

VIX Last Week – 7/20/2014

What a day VIX had last week. We got a 32% plus move in VIX and the second highest VIX futures volume ever. And then we returned to the new normal of VIX being a pre-teen. When VIX moves to the upper teens and stays there it is going to be a rude awakening for […]

Emerging Market Volatility Last Week – 7/20/2014

The emerging market space did not react in quite the same manner as the S&P 500 as rumors took stocks lower in a couple of legs down Thursday. We saw a gain in the implied volatility of EEM options, but not nearly to the extent as with the developed markets.   Brazil continues to be […]

Volatility Indexes and ETPs Last Week – 7/20/2014

The week over week curve changes do not even come close to doing this past week’s volatility index action any justice. I got out my back up spreadsheet that allows me to plot three lines. The result is below. Note the purple line showing the short lived volatility event from Thursday. The pattern of a […]

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