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 this sort of backwardation was in August 2011.


For the record VXST was up 231%, VIX rose 118%, VXV gained 51%, and VXMT was higher by about 34% for the week.   Before the week began, XIV and SVXY were higher by about 40% for 2015. After the pummeling those funds took last week, the year to date performance is ‘only’ a gain of 15%. I’m sure that is not much consolation to holders of the funds that experienced the one week 25% drop.

VXX Table

I got questions about the underperformance of the long volatility funds last week relative to the huge gain in VIX. Those funds give holders exposure to the front month VIX futures. As of Friday this is the September and October contracts. As last week was August expiration, the September contract dominates the performance of those funds and that contract gained 31% last week.

Since I’m a company man, I will just mention that there are VIX Weeklys available and the VIX future that expires this coming Wednesday on the open gained 70% last week and was up by 35% on Friday.

With VXX has gained 30% over a five day period I look around for trades taking the other side of the volatility spike.   I didn’t have to look too hard as close to the end of the day there was a seller of the VXX Aug 28th 21.00 Calls at 1.46 and paid 0.93 for the VXX Aug 28th 23.00 Calls for a net credit of 0.53. The risk is 1.47 if the market drop and volatility rise continues next week while the reward for a calming of the markets is equal to the 0.53 credit received.


Record Volume Day for CBOE and SPX Options, as VIX Index Has Its Biggest One-Week Jump – By Matt Moran

This past week the CBOE Volatility Index® (VIX®) rose 118.5%, its largest move ever (in percentage terms) in one calendar week. On Friday CBOE®, C2 Exchange and the CBOE’s S&P 500® options all experienced record volume days, with estimated volume of 11 million options contracts traded on CBOE. A news report at Marketwatch noted – “Across the globe, investors dumped anything with a whiff of “risk” as an economic slowdown in China accelerates, resulting in rapidly plunging oil prices and complicating the Federal Reserves aim of normalizing interest rates.”


As shown in the charts below, trading volume in key index contracts – VIX futures, and options on the S&P 500 and VIX indexes – grew tremendously in the second half of the week. The put/call ratios for the SPX options were much higher the ratios for VIX options. For portfolio protection, some investors were buying SPX protective puts and collars, and/or taking long positions in VIX call options and VIX futures.
1-1 - SPX Options Volume

2 VIX fut opt volume one week jpg


As shown in the table below, the biggest one-week moves (in percentage terms) for the VIX Index have been upside (rather than downside) moves. This table was posted in a tweet at /CBOE and generated more than 65 retweets and 40 “favorites.”

3 - Biggest VIX Moves in One Week

The VIX Index end-of-week values rose from 12.83 to 28.03 over the past week. The S&P 500 index (SPX) fell below its 200-day moving average on Thursday and turned negative for the year. During the week the index lost about $1.1 trillion in value.

4 - VIX SPX week

Prior to this summer, VIX futures had Wednesday “standard” expirations once a month, but now there are VIX Weekly futures with expirations on multiple Wednesdays in the near-term month. It is expected that VIX Weekly futures offer more opportunities to investors, particularly because the Weeklys often could have more responsiveness to market events than the standard expiration VIX futures. Please see all of the charts below for data on VIX weekly futures. During last week the settlement prices for the “Week 34” VIX futures (expiring Wednesday, August 26), rose 69.9%, while the standard expiration VIX futures (expiring Wednesday, Sept. 16) rose 31.6%.

5 - VIX weekly price


For investors who are considering VIX futures, the table below shows valuable information re: the price movements on Friday for twelve expirations of VIX futures. Note that the near-term futures generally had bigger movements than the long-dated futures.

6 - VIX fut table on Aug 22


The chart below shows last week’s percentage changes for select indexes, commodities and VIX futures.
Note that while the S&P 500 Index fell 5.7%, new CBOE benchmark indexes that used options – the CBOE S&P 500 Zero-Cost Put Spread Collar (CLLZ), CBOE S&P 500 Iron Condor Index (CNDR), and the CBOE S&P 500 Multi-Week BuyWrite Index (BXMW) – were able to mitigate some losses through use of options this past week. To learn more about benchmark indexes and risk management and related prices and risk disclosures, visit

7 - 1 week many


To learn more about how index options and VIX futures and options can help you manage the risk in your investment portfolio, visit the Education and Strategies sections at The page has links to benchmark indexes and several white papers that provide information on generating added income and managing volatility.

TYVIX Weekly Review: Will the FOMC Lift the Lid on the Federal Fund Target Rate?

Federal Funds Target Rate and Treasury Volatility

With 26 days left until the September 16th meeting of the Federal Reserve Open Market Committee, and signals for U.S. rates diverging amid continued China and Europe economic weakness, it is still uncertain whether the FOMC will lift the lid on the federal funds target rate (FFTR) on September 16 or later. The FOMC is concerned that a rate hike will stall the U.S. economy and market participants are concerned that a rate hike will depress Treasuries and increase volatility.  So it’s is a good time to examine how the CBOE TYVIX Index and Volatility Index (VIX) have behaved after past changes in monetary policy.

To get a longer perspective, we plotted realized Treasury volatility as a proxy for TYIVX and realized S&P 500 volatility as a proxy for VIX. As illustrated in Figure 1 for TYVIX and VIX, expected and subsequent realized volatility are broadly in line.

Figure 1. Expected versus subsequent Realized Volatility, 10-Year Treasuries and S&P 500 Fig1-82115 Federal Fund Target Rate and Volatility

Figure 2 below shows the history of the federal funds target rate, versus Treasury volatility in the top panel and S&P 500 volatility in the bottom panel. Real gross domestic product (GDP) growth serves as backdrop in the top panel to remind us just how weak real GDP growth remained while the federal funds target rate sank lower and lower.

Highlights from Figure 2 include:        

  1. a) With a few pauses, the FFTR began its descent to a zero interest rate policy (ZIRP) in 1989 (ZIRP is a bit of an exaggeration, as the Federal Reserve has held the federal funds target rate at 25 basis points since January 2009), decreasing from 5% to .25%.
  2. b) Compared to the surge around 1980, and its after effects until 1989, realized Treasury volatility has been relatively low, trading in a range of 3 to 9 percentage points. Prior to 1980, Treasury volatility was lower than today. Hence today’s Treasury volatility, and TYVIX by extension, is in a mid-range. Note how flares in Treasury volatility have tended to occur when the FFTR decreased (1993, 2003 and 2008), not when it increased.
  3. c) S&P 500 volatility is in a low to middle range compared to prior history. Similar to Treasury volatility, flares in S&P 500 volatility have tended to follow decreases in the FFTR.

Figure 2. Fed Fund Target Rate, Treasury Volatility, S&P 500 Volatility and Real GDP GrowthFig2-82115


Weekly Update on Volatility and Volatility Futures

Continued concerns over the Chinese economy depressed stock markets and increased the TYVIX Index to 5.91. Futures on TYVIX Index followed , but the star of the show is the VIX Index, which reached 23.53 by 11 a.m. ET on Friday.  The VIX Index is now well above its historical median since 2003, but the TYVIX Index has a little way to go. Currency volatility is also up, especially JYVIX.

Fig5-82115 Fig4-82115

 Post written by Catherine Shalen, CBOE Research

Record Volume for VIX Weekly Futures Today as Five Volatility Indexes Rose by More Than 20% – By Matt Moran

August 20 – Today the S&P 500 (SPX) Index and Dow Jones Industrial Average both fell by 2.1%, while the CBOE Volatility Index (VIX) and 4 other volatility indexes rose by more than 20% (see table below), and the VIX Weekly futures had record daily volume of 1,847 (estimated).


In a recent piece at, Steve Sears penned a column with the headline “Fear of Fed, China, Oil: Volatility Trade Is Back” and noted that –

“Some observers are now contending – and preparing – for the CBOE Volatility Index ( VIX ) to be much higher by fall. “The ingredients are in place for more financial market volatility,” Russ Koesterich, BlackRock’s chief investment strategist, is advising clients. Trading patterns show investors think the VIX could surge to 28 by October. Such a move would be accompanied by a sharp decline in the stock market. …”


The table below shows the daily percentage changes and closing values for 29 volatility indexes (at on August 20 –

% change  Last  Ticker  Index
45.6%   20.88   VXST CBOE Short-Term Volatility Index
25.8%   19.73   VXD CBOE DJIA Volatility Index
25.5%   19.14   VIX®   CBOE Volatility Index®
24.5%   21.61   VXN CBOE NASDAQ Volatility Index
23.6%   19.98   VXO CBOE S&P 100 Volatility Index
19.4%   32.73   VXAZN CBOE Equity VIX® on Amazon
18.5%   22.81   RVX CBOE Russell 2000 Volatility Index
18.4%   108.75   VVIX CBOE VIX of VIX Index
16.5%   22.05   VXEFA CBOE EFA ETF Volatility Index
16.0%   25.44   VXGS CBOE Equity VIX® on Goldman Sachs
15.9%   34.47   VXAPL CBOE Equity VIX® on Apple
14.1%   18.83   VXV CBOE 3-Month Volatility Index
12.6%   27.09   VXGOG CBOE Equity VIX® on Google
11.9%   31.37   VXXLE CBOE Energy Sector ETF Volatility Index
11.2%   36.33   VXFXI CBOE China ETF Volatility Index
10.9%   21.38   VXIBM CBOE Equity VIX® on IBM
10.0%   30.02   VXEEM CBOE Emerging Markets ETF Volatility Index
8.8%   19.1   VXMT CBOE Mid-Term Volatility Index
6.6%   9.16   JYVIX CBOE/CME FX Yen Volatility IndexSM
5.7%   16.87   GVZ CBOE Gold ETF Volatility Index
4.1%   29.21   VXSLV CBOE Silver ETF Volatility Index
3.6%   5.79   TYVIX CBOE/CBOT 10-year U.S. Treasury Note Volatility Index
3.1%   42.58   OVX CBOE Crude Oil ETF Volatility Index
1.2%   40.53   VXEWZ CBOE Brazil ETF Volatility Index
0.4%   88.17   SRVIX CBOE Interest Rate Swap Volatility Index
0.4%   10.29   EUVIX CBOE/CME FX Euro Volatility Index
0.1%   52.44   VXGDX CBOE Gold Miners ETF Volatility Index
-0.3%   7.46   BPVIX CBOE/CME FX British Pound Volatility Index
-1.3%   10.49   EVZ CBOE EuroCurrency ETF Volatility Index


The table below shows the daily percentage changes and closing values for seven other volatility-related indexes on August 20 –

% Change Last Ticker Index
26.0%   18.52   VWB CBOE VIX Indicative Bid Index
25.5%   19.15   VIN CBOE SPX Near-term VIX Index
24.8%   19.75   VWA CBOE VIX Indicative Ask Index
24.0%   19.13   VIF   CBOE SPX Far-term VIX Index
10.9%   52.8   ICJ   CBOE S&P 500 Implied Correlation Index (fixed maturity)
0.1%   57.64     JCJ   CBOE S&P 500 Implied Correlation Index (fixed maturity)
-2.8%   118.76   SKEW CBOE S&P 500 SKEW Index


To learn more about 29 volatility indexes, and about futures and options on volatility indexes, please visit


Last Week in VIX – 8/16/2015

The S&P 500 rose slightly last week and the VIX curve was dramatically unchanged. Unchanged is an exaggeration, but in the four years that I have been posting blogs about VIX, this is the smallest week over week change I can remember.

VIX Curve + Table

Something I have been watching for some time is the futures pricing relative to spot VIX the Friday before settlement. The spread, when very little is going on, is usually about a point of premium in the soon to expire VIX future relative to the index. As noted above, the August VIX futures settlement was well over a point higher than VIX on Friday. This means if VIX does not move at all between Friday’s close and Wednesday settlement (I know, a reality stretch, but work with me here), a short position in the future would result in a profit. This trade can also be done through purchasing VIX put options as VIX option pricing reflects the level of the underlying futures contacts. I decided to take a look at several August VIX Put option prices from the close on Friday.

VIX Option Quotes

The pricing above is the offer price at the end of the day Friday, along with a break even at expiration level, and finally the difference between the break-even level and where VIX closed Friday. As an example the VIX Aug 17 Put was offered at 2.90. Purchasing this option with the intent of holding it to expiration would mean that august VIX settlement would need to be under 14.10 for this trading to make money. The payoff with Friday’s VIX close and the August futures settlement levels.


Note the payoff at expiration in the diagram above results in a profit as long as VIX remains around current levels into Wednesday settlement. This is common when expiration is approaching, which is currently once a month. However, beginning in early October, CBOE will begin offering VIX options that expire every week. I’ll be watching closely to see if this sort of price behavior is as consistent with Weeklys as it has been with standard VIX futures and options.

Volatility Indexes and ETPs Last Week – 8/16/2015

Three out of four volatility indexes calculated using S&P 500 Index options to determine a consistent measure of implied volatility were lower last week. For all of 2015 the father dated volatility indexes have been elevated relative to VXST and VIX. We are now approaching a time where the potential for a rate hike is closing in. That may be the reason VXV held up last week while the other three indexes dropped.


The stock market had a rocky ride, but finished the week higher. Everyone’s favorite volatility oriented fund (VXX) was down just under 1% despite VIX dropping over 4%. VXX was 90.5% weighted in September VIX futures at the end of the week and Sep VIX futures lost a whopping 0.66% last week while August was unchanged. Hence the disconnect between VXX and VIX.

VXX Table

TYVIX Weekly Review: Nothing Like a Yuan Devaluation to Invigorate Volatility

After last week’s doldrums, the Chinese government’s surprise devaluation of the yuan breathed life into CBOE’s VIX Suite: VIX, TYVIX, EUVIX, BPVIX and JYVIX. Volatilities fluctuated as the events of the week unfolded – initially climbing on Tuesday when the devaluation occurred and prompted a number of analysts to suggest the Federal Reserve’s target rate increase could be deferred to next year. Volatilities in VIX and TYVIX subsided somewhat in midweek following mostly positive U.S. economic releases (U.S. July retail sales were up 0.6 percent, July industrial production also was up 0.6 percent and the July producer-price index was up 0.2%), but volatilities nonetheless finished the week higher than last Friday. The currencies group saw similar trepidations, but only JYVIX has advanced from last Friday.

Figure 1: Weekly Volatility Update

It Was the Second Time This Year That a FX Shock Hit the VIXes


Following Futures on Treasury Volatility
Since their inception in November 2014, futures on TYVIX have followed the tribulations of the spot index and this week is no different.  With a relatively flat term structure, the average levels of current and future expected volatility are now converging to 6, close to their median value since last November.

Figure 3. Futures on TYVIX (Ticker VXTY)











Post written by Catherine Shalen, CBOE Research

Barron’s Discusses VIX Weeklys

This past weekend Steven Sears committed the whole Striking Price column in Barron’s to VIX Weeklys. I would strongly suggest checking out the full column, as well as reading it every weekend as it is a great way to learn more about options. Some highlights include –

  • Weekly VIX futures contracts were introduced July 23th and the options are expected to begin trading on October 8th
  • The shorter dated VIX futures are expected (and already have been) to track spot VIX more closely than longer dated futures
  • This shortening of the time to expiration for the nearest VIX future will create more opportunities to gain exposure to VIX for both futures and options traders

As an example this past Wednesday was the first settlement day for VIX Weekly futures. The standard August contract will settle on August 19th. The chart below shows daily closing prices for VIX and settlement values for the short dated August 5th and August 19th contract.

VIX Weekly

The chart shows daily closing prices from the July 23rd launch through August 4th, the day before AM settlement for the August 5th futures. Note the spike on the left and how the Aug 5th contract moves up in line with VIX and how it also fades lower in line with VIX. It is early in the game for short term VIX futures, but the evidence shows those that want long exposure to VIX, in anticipation of a ‘spike’, or traders who like to take the other side of the periodic spikes in VIX will be well served by the consistent availability of VIX futures with just a few days remaining until expiration.

TYVIX: Is Fed Fatigue Setting In?

As market participants returned to the view this week that a September (rather than December) fed fund hike may be more likely, backed up in part by an as-expected U.S. July employment report on Friday, expected Treasury volatility measures through December 2015 decreased, but just barely. At week’s end, the TYVIX Index was still about 1 index point below its value at the beginning of July, as were futures on TYVIX.  This suggests the 10-Year Treasury market is indifferent to whether the Federal Reserve hikes the federal fund rate in September 2015 or in December 2015.  That’s a real contrast with May 2013, when a Federal Reserve “taper” scare doubled the value of the TYVIX Index from around 4 to 8.

Figure 1: Term structure of expected Treasury volatility: TYVIX and futures on TYVIX (Ticker VXTY) since July 1, 2015. ty1 8-7-15Fig1

Diverging Reaction in Equity and Bond Markets

Very interestingly, the equity market is having the opposite reaction to a shift in current sentiment. VIX, the benchmark for equity volatility, is up for the week.

Figure 2. ty2 8-7-15Fig2

Equity Market More Nervous than Treasury Market? Term Structure of TYVIX Is Flatter, but Term Structure of VIX Is Not

Another interesting development is that the term structure of TYVIX futures has flattened.  In other words, one-month volatility is not expected to change much from today until the end of 2015, and there is little risk premium of December over August volatility. Ceteris paribus (all other things being equal), volatility futures are in contango, with December volatility more expensive than August volatility.  Now look at the term structure of VIX futures: It has shifted down since July 1, but has not flattened.

Figure 3:  Snapshots of term structures of TYVIX and VIX Indexes in early July and August 2015ty3 8-7-15Fig3

Volatility Indexes and ETPs Last Week – 8/9/2015

The over 1% drop in the stock market did not get traders too worried as VIX remains well under 14 and the VXST – VIX – VXV – VXMT curve maintained a distinct ‘normal looking’ curve. In 30 days we will be in early September, which is a time of year that often puts traders more on edge.



VIX did rise over 10% last week in response to the S&P losing 1.25%. As of Friday VXX was about 1/3rd August VIX futures and 2/3rds September VIX. Since the August contract rose only 2% last week and September was lower VXX was only up slightly for the week. This is the spot where I should begin singing the praises of VIX Weekly futures, but I’ll save that for another blog.VXX Table



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