Category Archives: Volatility

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 […]

VIX Last Week – 7/6/2014

VIX finished the week at a post 2008 low which can be attributed to a bullish reaction to the June jobs number and an extra-long weekend.   After attributing for a guesstimate of the impact of the extra days off on spot VIX I wonder if the July VIX contract is a bit overdone to […]

Gold and Oil Volatility Last Week – 7/6/2014

The United States Oil (USO – 38.25) ETF was lower last week as the geopolitical risk in the price of oil seems to be subsiding. We saw OVX rally a few weeks ago when the price of oil moved higher based on increased tension in the Middle East. Now the price of oil starts to […]

Russell 2000 and Nasdaq 100 Volatility Last Week – 7/6/2014

Both the Russell 2000 and Nasdaq-100 had strong weeks last week respectively rising over 1.5% and 2.0%. This compares to a 1.25% gain for the S&P 500. Despite their underlying markets outperforming the S&P 500, both VXN and RVX did not drop as much as VIX for the short week. I always believe there is […]

VXST Last Week – 7/6/2014

VXST closed at an all-time low on Thursday based on a strong equity market and a three and a half day weekend. The weekend effect for volatility indexes relates to the indexes being calculated using calendar days.   In the case of VXST the measurement is nine calendar days. When there is a three day weekend […]

Volatility Indexes and ETPs Last Week – 7/6/2014

VXST closed at an all-time low on Thursday based on a strong equity market and a three and a half day weekend. The weekend effect for volatility indexes relates to the indexes being calculated using calendar days.   In the case of VXST the measurement is nine calendar days. When there is a three day weekend […]

Emerging Market Volatility Last Week – 7/6/2014

The iShares MSCI Emerging Markets ETF (EEM – 44.16) had a solid week rising 1.87% and VXEEM marched lower based on this price action and the long weekend.   Friday’s closing price of 13.71 is actually the lowest recorded close for VXEEM. The history is not that long, only going back to March 2011, but that’s […]

PUT Index Rose 1510% (with Lower Volatility) Over 28 Years — By Matt Moran

A 2013 paper by BlackRock on “VIX Your Portfolio – Selling Volatility to Improve Performance” noted that – “A strategy that systematically sells volatility on a diversified equity index should capture a positive risk premium over long horizons because it is similar to selling insurance.” One of the strategies highlighted by the paper was the […]

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