Category Archives: Volatility

Last Week in VIX – 11/23/2014

With the S&P 500 achieving several new highs last week VIX managed to drop back into the tweens finishing out the week at 12.90. Despite making record highs 42 through 45 this week VIX continues to trade at premium to normal levels from 2014 when records are being set. The curve is pretty darn steep […]

Last Week in Emerging Market Volatility – 11/23/2014

At The Options Institute we travel extensively and the travel is very seasonal. Between Labor Day and Thanksgiving each of the instructors are on the road almost once a week. Just for the heck of it, I scanned my airline frequent flier account and I’ve racked up 19,825 miles between those two holidays this year […]

Last Week in Gold and Oil Volatility – 11/23/2014

Gold and Oil both rose last week, but the market perceptions of each market are very different. Oil volatility rose last week while gold volatility managed to drop. First OVX was up a little over 5% as risk perceptions continue to elevate. Gold began moving higher two weeks ago and followed through nicely over the […]

Last Week in Nasdaq-100 and Russell 2000 Volatility – 11/23/2014

The Nasdaq-100 was up less than the S&P 500 this past week, but managed a gain of 0.26% which places the tech heavy index up over 18% on the year. VXN was down about 3% on the week with a good part of that drop coming toward the end of the week. The Russell 2000 […]

Last Week in Short-Term Volatility – 11/23/2014

VXST came under a bit of pressure to end the week due to the S&P 500 reaching more new highs.  The stock market strength combined with the impact of this coming week being a holiday shortened week.  For those new to VXST the explanation behind the previous sentence is the index is based on calendar days […]

Last Week in Volatility Indexes and ETPs – 11/23/2014

Four out of five days last week the S&P 500 hit a new record high. In reaction to the S&P 500 climbing to what some traders consider nose bleed territory three of the four volatility indexes based on SPX option trade dropped in value. The move lower in VXST was a bit overdone and the 7.93% move gets […]

Gauges for Tools for Portfolio Protection – VIX, SPX, SKEW, and Term Structure – By Matt Moran

Nov. 17, 2014 – When I deliver presentations on portfolio risk management to groups of financial professionals, one of the most frequent questions is “What is a better hedge for a portfolio – VIX calls or SPX puts?” A 30-page paper by Morgan Stanley in June 2014 suggested that “VIX calls are best used to […]

Last Week in VIX – 11/16/2014

A week ago I discussed what VIX was doing when the S&P 500 set recent records relative to SPX record highs set earlier in 2014. At that time there were 38 days where the S&P 500 had closed at a new all-time high, now the number is up to 41 with three records being set […]

Last Week in Emerging Market Volatility – 11/16/2014

The iShares MSCI Emerging Markets ETF (EEM) was up about a half percent last week despite the performance of the Brazilian market. We shall get to Brazil in a moment. EEM is down down 0.03 for the year for a loss of 0.07% which is close enough to say flat on the year. The result […]

Last Week in Gold and Oil Volatility – 11/16/2014

Friday was a pretty slow day on the floor at CBOE. I hosted groups from a couple of different colleges mid-day on Friday and there were very few large open outcry trades coming into the SPX or VIX pit while we were on the trading floor. Apparently all the Friday action was in the gold […]

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