This past month was one of the most volatile months of the past three years, as the CBOE Short-Term Volatility Index (VXST) rose 48.2% on October 9, and the CBOE Brazil ETF Volatility Index (VXEWZ) hit its all-time daily closing high of 72.83 on October 20 (before the re-election of Dilma Rousseff as President of Brazil), but after the uncertainty of the election results had passed, the VXEWZ Index fell 46.2% on October 27.
VOLATILITY INDEXES AND TRADABLE INSTRUMENTS
Below are four line charts that show October price movements for a total of six volatility indexes; futures and options are offered for five of the volatility indexes, and futures on the VXTYN Index are expected to be launched in a couple of weeks (subject to regulatory approval).
VXTYN INDEX AND INTEREST RATE VOLATILITY
The CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (VXTYN) rose 22.3% on October 15 as worldwide stock markets were rattled mid-month. An October 17 story at Bloomberg.com reported that – “Treasuries surged, with volatility climbing the most since the “taper tantrum” of 2013, as speculation that slowing global growth may restrain the U.S. economy led traders to raise bets the Federal Reserve will delay interest-rate increases.”
RECORD VOLUME DAYS FOR VIX FUTURES AND SPX OPTIONS
The closing values of the VIX rose from 14.46 on October 6, to 29.26 on October 16. Trading of options on the S&P 500 Index (SPX) at CBOE set a new single-day volume record on October 15 as 2.6 million contracts traded, surpassing the previous high of 2,282,029 contracts on June 20, 2013. Also on October 15, trading volume for VIX options was 1,832,732 contracts, a figure that was close to the all-time high. At CBOE Futures Exchange (CFE), trading of VIX futures set consecutive single-day volume records on October 14 and October 15, with 616,906 contracts and 791,638 (estimated) contracts traded, respectively.
OIL AND GOLD VOLATILITY
The daily closing highs this past month were 37.23 for the CBOE Crude Oil ETF Volatility Index (OVX) and 21.54 for the CBOE Gold ETF Volatility Index (GVZ). An October 31 story at wsj.com noted that –“Gold prices in Europe fell off a cliff Friday, dragged down by strength in the U.S. dollar. The coming end of the U.S. Federal Reserve’s asset-buying program, and strong economic growth figures, helped push up the dollar. In turn, spot gold was trading down 2.8% at $1,165.19 a troy ounce …”
BIG MOVES FOR BRAZIL AND SHORT-TERM VOLATILITY
The CBOE Brazil ETF Volatility Index (VXEWZ) fell from its all-time daily closing high of 72.83 on October 20, to 31.30 after the presidential election. The CBOE Short-Term Volatility Index (VXST) hit a daily closing high of 31.12 on October 15 (the same day that the VXTYN had a big upward spike).LEARN MORE
To read more information on how volatility-based products can be used in diversification and risk management strategies, please visit www.cboe.com/volatility.