Category Archives: Volatility

Last Week in VIX – 10/3/2015

Despite the S&P 500 rising over 1% last week VIX remained over 20.00 for the 30th straight day although it did drop by over 11%.  This run goes back to the beginning of the heightened levels of volatility that began back on August 21st.  The curve below shows that the curve based on standard monthly […]

Last Week in Volatility Indexes and ETPs – 10/3/2015

Those that casually watch VIX may not be aware of the variety of volatility indexes published by CBOE.  On at least a weekly basis I take a look more than VIX and try to gain a little insight into the mind of the market.  The curve below shows the relationship of four volatility indexes that […]

Presentations in Mumbai and Kolkata to Discuss CBOE VIX Index and India VIX – By Matt Moran

Presentations on topics such as (a) the relationships among price movements of stock indexes, the CBOE Volatility Index® (VIX®), and the India VIX Index, and (b) new studies on fund use of options and volatility-based strategies, will be delivered by me to continuing-education meetings of the Indian Association of Investment Professionals (IAIP) in the cities […]

Last Week in VIX – 9/6/2015

On the traditional VIX curve we saw a pretty dramatic shift of the upside across the board.  The exception was spot VIX, but we have to attribute the smaller move to the three day weekend effect that causes VIX to close a little lower than if we were approaching a 2 day weekend.  A couple […]

Last Week in Volatility Indexes and ETPs – 9/6/2015

The S&P 500 lost 3.4% last week which I guess is becoming commonplace these days.  Do note on the curve below that VXST closed a tad lower on a week over week basis.  We attribute this to the long weekend we are currently experiencing and I’ll address that a little more in a minute. Both […]

New VIX Weeklys – More Responsiveness in Recent Weeks – by Matt Moran

VIX® Weeklys futures began trading at CBOE Futures Exchange (CFE®) on July 23, 2015. VIX Weeklys options are expected to begin trading at CBOE® on October 8, 2015. One of the most important features of the new VIX Weeklys is the fact that these products have the potential to provide more trading precision and responsiveness […]

Last Week in VIX – 8/30/2015

I’m depending on my aging mental capacity in lieu of spending the time to go through the last four years of VIX recap blogs for the following statement.  I have no recollection of a shift in the VIX term structure curve that replicates what shows up below.  VIX lost value on the week, while all […]

Last Week in Volatility Indexes and ETPs – 8/30/2015

Under no circumstances does the week over week change in the VXST – VIX – VXV – VXMT curve tell the story of last week.  There’s something worth noting, but last week is not done any justice at all if a line showing Monday closing prices is not included, therefore it is. What strikes me as noteworthy […]

Last Week in VIX – 8/23/2015

VIX more than doubled last week in what was the biggest week over week percent change for VIX in history. Specifically VIX rose 118% from Friday to Friday.   This past week was August settlement week for VIX futures and options. In the past this would mean that the next expiring future would have weeks of […]

Last Week in Volatility Indexes and ETPs – 8/23/2015

The S&P 500 was down 5.77% and S&P 500 related volatility indexes did exactly what traders would expect. They shot higher and the curve became as inverted as it has been in the last three to four years. I’m pretty sure the last time the VXST – VIX – VXV – VXMT curve was in […]


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