All-time Record Volume for VIX Options Today, as VIX Index Hits Its Highest Level Since August

FRIDAY, DEC. 1, 2017 – Today’s trading volume for options on the Cboe Volatility Index® (VIX®) was a reported 3.1 million contracts, the highest number for single-day volume in the VIX options since they commenced trading in 2006.


Today the VIX Index hit an intraday high of 14.58, its highest value since August. Key news events today concerned the tax legislation in the U.S. Congress, and the plea by Michael Flynn.


Average daily volume for both VIX options and VIX futures has increased in 2017, as investors use these powerful tools in a variety of ways for portfolio management.


To learn more about use of VIX options and VIX futures, please visit Cboe’s VIX webpages at

Tech Sector Index is Top Performer in 2017, as Options on Ten Select Sector Indexes Are Planned

One of the most frequent types of questions I receive from investors involves the topic of year-to-date performance.  Many investors are very interested in tracking how indexes have performed in the current year.

As shown in the two charts below, of the ten S&P Select Sector indexes, the top and bottom performers in terms of price index returns in 2017 (through November 7) were the S&P Technology Select Sector Index (IXT), which was up 32%, and the S&P Energy Select Sector Index (IXE), which was down 6%.


So far in 2017, the averages of the daily 20-trading day historic volatilities (through September 7) were:

  • 13.4 for the S&P Technology Select Sector Index (IXT);
  • 9.8 for the S&P Energy Select Sector Index (IXE);
  • 6.8 for the S&P 500 Index (SPX); and
  • 3.2 for the Cboe S&P 500 PutWrite Index (PUT), an index that sells cash-secured SPX put options.


 Cboe Global Markets has announced plans to expand its suite of product offerings tied to S&P Dow Jones Indices with the planned launch of options on the ten S&P Select Sector Indices that comprise the S&P 500 Index, a key benchmark of the U.S. equities market.

  • Options will be available on 10 sectors that comprise the S&P 500, pending regulatory approval.
  • The new options are expected to hold particular market appeal for European investors interested in targeted exposure within key U.S. equity benchmarks.
  • Further expands Cboe’s successful suite of products tied to S&P Dow Jones Indices, with trading and settlement features similar to Cboe’s S&P 500 options (SPX).


The S&P Technology Select Sector Index (IXT) has the largest weighting of all the ten S&P Select Sector indexes.


Cboe Select Sector Index options are designed to potentially be problem-solvers for European asset managers who want exposure to these U.S. index sectors, but cannot hold physical delivery exchange-traded product (ETP) options in their funds because of EU regulations around UCITS (Undertakings for the Collective Investment of Transferable Securities). The options on the Select Sector Indexes are designed to provide simple, straightforward market access to these key U.S. equity sectors for European investors.


 For more information on the planned options on S&P Select Sector Indices, including links to more than 100 price charts, and a Fact Sheet with key options specifications, please visit

VIX Index Hits All-Time Daily Closing Low Value of 9.14

On November 3 the Cboe Volatility Index® (VIX®) closed at 9.14, an all-time record low for both a daily and weekly closing value for the index.

While the news media often focuses on the spot VIX Index, volatility traders analyze the price movements of VIX futures. The prices for VIX futures at the close on November 3 ranged from 10.1 to 16.4.

In light of the fact that the VIX Index recently has been well below its long-term average of 19.4, some observers might question whether there might be too much complacency in the markets. However, it is worth noting that the Cboe SKEW Index usually has been well-above its long-term average of 118.6 in recent months.

Investors can learn more about use of VIX futures and options at and at upcoming Cboe Risk Management Conferences

  • Cboe RMC Asia. Dec. 5 – 6, 2017   at Conrad Hong Kong;
  • Cboe RMC US. March 7 – 9, 2018   at Hyatt Regency Coconut Point, FL;
  • Cboe RMC Europe. Sept. 12 – 14, 2018 at Powerscourt Hotel in Enniskerry, Ireland


Weekend Review of VIX Futures and Options – 10/29/2017

VIX finished the week lower, but notice the change for the standard first, second, and third month futures which was green for the week.  VIX may have dropped at the end of the week, but the VIX futures are acting like the volatility players are not expecting the move lower to hold.

VIX Term Strucutre Table 10272017

One trader took advantage of the volatility strength on Wednesday to get short volatility using Weeklys futures.  With VIX around 12.90 and the Nov 8th Future at 13.00 there was a small buyer of the VIX Nov 8th 13 Puts at 1.50.  They goal here is for VIX to move lower and November 8th settlement to be in line with what has been common lately, a 10 or even 9 handle.  The break-even on this trade at expiration is 11.50 so if things go back to 2017 normal this may be a smart, well-timed fade of VIX moving up this week.

VIX PO 10272017

Weekend Review of Volatility Indexes and ETPs – 10/29/2017

Of the four volatility indexes based on SPX option pricing, only VIX was lower last week.  This is the second week where the longer dated indexes (VIX3M and VXMT) rose while VIX was lower.


Despite VIX dropping the long ETPs gained ground last week.  This is a great lesson in what these products give you, exposure to VIX futures and both the November and December contracts rose slightly despite the drop in VIX.

VXX Table 10272017

Of note on the table below is the majority of green lines versus reddish lines.  It’s been rare in 2017 that more volatility indexes rise than drop on a week over week basis.

Vol Index Prices 10272017

On Wednesday VXX spent some time above 38 and when the popular ETN was around 38.50 someone came in and decided the move wouldn’t run to the low 40’s through the end of the week.  Specifically there was a seller of the VXX Oct 27th 42 Calls for 0.51 who purchased the VXX Oct 27th 45 Calls for 0.26 and a credit of 0.25.  The risk here is VXX over 45.00 and a loss of 2.75.  However, there wasn’t much danger of this happening as VXX turned to the downside shortly after this trade.

VXX PO 10272017

Weekend Review of VIX Futures and Options – 10/22/2017

VIX was higher last week, despite the S&P 500 hitting a record high for five days in a row.  At low levels this sort of divergence between VIX and the S&P 500 isn’t usually much of a big deal.  But I wonder if there may be more significance since VIX under 10 has become a bit more of a norm.

VIX Curve 10202017

I love going through time and sale to see what sort of trading has been going on in VIX options and it’s a bonus when I find a trade structure that’s uncommon.  This leads me to this week’s trade which combined a synthetic long VIX position with a long VIX put.  On Thursday, there was a buyer of the VIX Oct 25th 12 Calls at 0.36 who sold the VIX Oct 25th 12 Puts at 1.52 which is a synthetic long position in VIX with a price of 10.84.  Since it’s VIX we can think of it as a synthetic long Oct 25th VIX Futures position (it appears the Oct 25th VIX futures were trading at 10.85 at the time).  To round out the trade they purchased the VIX Oct 25th 11.50 Puts for 1.09.  The results a payoff that looks like the diagram on expiration date.

VIX PO 10202017

If the chart above looks familiar it is because it is a long call.   With three legs a trader basically replicated a long 11.50 Call at a cost of 0.43.   The market for those options was 0.45 x 0.50 at the time of the trade so they did a little bit better by executing the spread as opposed to buying the call options.

Weekend Review of Volatility Indexes and ETPs – 10/22/2017

The short term volatility indexes (VXST and VIX) were up a bit last week as the S&P 500 set multiple all-time closing record highs last week.  VIX3M (formerly VXV) and VXMT were both up slightly resulting the rare ‘term-structure twist’.  It’s really not that rare, I just had a nature documentary voice in my head as I typed that.

VXST VIX VIX3M VXMT Curve 10202017

The table below has few surprises (beyond VXST and VIX higher).  TYVIX heading to higher levels is a bit of a head scratcher until I notice the December FOMC meeting is sneaking up on us.  It’s difficult to think the December meeting is around the corner when it’s 75 degrees in Chicago as I type this.  Finally, worth noting is SKEW rallying to near all-time highs as the S&P 500 did the same.

VXX Table 102020176

Across the volatility universe most indexes were lower.  IBM and Goldman Sachs volatility on the bottom of the table is a great reminder than not all volatility markets are the same.  Looking at the top end of the chart the words, ‘mixed bag’ popped into my mind.

Vol Index Prices 10202017

As mentioned already, we experienced a short-lived volatility spike Thursday morning, this sent me looking for traders using options on volatility linked ETPs to take the other side of this move.  With VXX up around 35.60 a trader came in and sold the VXX Oct 20th 34.00 Calls at 1.68 and purchased the VXX Oct 20th 36.50 Calls for 0.31 and a net credit of 1.37.  The payout at expiration (Friday’s close) shows up below.


This turned out to be a well-timed fade of the volatility move that lasted about 45 minutes.  VXX finished the week at 33.79, 0.21 under the short call strike of 34.00 which places it a perfect place for this bear call spread as both options expired with no value.

Strong Growth for Key Cboe Index Products in 2017

An October 17 press release introduced a new name , “Cboe Global Markets, Inc. … identity and mission at the Futures Industry Association (FIA) Expo 2017 conference, currently taking place in Chicago.  The changes were made to better reflect the evolving nature and spirit of the company and follows the acquisition of Bats Global Markets (Bats) earlier this year.”

Below is an update with ten charts that show growth in 2017 for some of the many index products offered by the marketplaces of Cboe Global Markets.

Below is an update with ten charts that show growth in 2017 for some of the many index products offered by the marketplaces of Cboe Global Markets.


When I am discussing the Cboe’s BXM and PUT indexes with institutional investors, common questions I hear include – What about the capacity of the options markets? Can the options markets handle an influx of billions of dollars of new allocations by pension and endowment funds? In my answer to these questions, I usually present a chart on the notional value of average daily volume for the S&P 500® (SPX) options, which has more than doubled over the past five years.  The notional value of the SPX index options volume has been much higher than that of options on single stocks.


In 2017 (through September) the average daily volume for options on the Cboe Volatility Index® (VIX®) was 738,810, which was about 26% higher than the average daily volume for the full year of 2016. This volume growth occurred despite the fact that the average daily closing value for the VIX Index in 2017 year-to-date is around 11.3.


The average daily volume for VIX futures on Cboe Futures Exchange has grown every year in the past decade.


Cboe Options Exchange now offers SPXW Weekly options with p.m.-expirations on Mondays, Wednesdays and Fridays. SPXW Weekly options can provide opportunities for investors to implement more targeted buying, selling or spreading strategies. Specifically, SPXW Weeklys may help investors efficiently take advantage of market events, such as earnings, government reports and Fed announcements. Average daily volume for SPXW Weekly options grew from 99,358 in 2012 to around 500,000 this year.


Cboe Options Exchange offers dozens of benchmark indexes designed to show the hypothetical performance of strategies that use index options. As shown in the chart below, from mid-1986 through last month, the Cboe S&P 500 30-Delta BuyWrite Index (BXMD) rose 2313%, the Cboe S&P 500 PutWrite Index (PUT) rose 1910%, and the Cboe S&P 500 BuyWrite Index (BXM) rose 1350%. In addition, the BXMD, PUT, and BXM all had much less volatility than the S&P 500 and S&P GSCI indexes.

White papers and more information on Cboe benchmark indexes are at


So far in 2017, Cboe benchmark indexes that gained  more than 13% include the BXY, VXTH, VPD, VPN, LOVOL , and BXMC indexes. To learn more about these indexes, please visit


In early 2017 the minutes of the U.S. Federal Reserve Board “expressed concern that the low lev7 el of implied volatility in equity markets appeared inconsistent with the considerable uncertainty …”, and several observers this year have noted that the VIX Index has been well below its long-term average in 2017. Is there too much complacency in the equity markets? One gauge, the Cboe SKEW Index, hit an all-time high of 154.34 on March 17, 2017, and the SKEW Index has been well above its long term average during most of 2017. A relatively high level of the SKEW Index indicates that there is investor fear of big future losses in the markets.


Expert presentations on Cboe index products will be delivered at upcoming multi-day Cboe Risk Management Conferences in Hong Kong, Florida and Ireland.

To learn more about index products, please visit –


Weekend Review of VIX Futures and Options – 10/15/2017

On a week over week basis VIX hardly budged, but we did have a couple of days with closes over 10.00 both Monday and Tuesday.  In fact, we would have had a double digit VIX highs each day if it weren’t for Friday’s price action falling short by 0.02.  The curve moved lower than VIX as October played catch up with VIX going into this week’s settlement.

VIX Futures 10132017

Worth noting is the volatility of VIX options.  Specifically, the level of VVIX, which ticked higher last week and has been at the higher end of the 2017 range lately as well as well over the long-term average with is about 88.00 using the history we have going back to 2007.  VIX may be low, but VIX option buyers are willing to pay up for options.

LT VVIX Average

Another great example of using VIX Weeklys, with VIX at 10.05 and the November 1st VIX future quoted about a point higher a trader bought 7500 VIX Nov 1st 14 Calls for 0.63 and then sold 7500 VIX Nov 1st18 Calls for 0.31 and a net cost of 0.32.

VIX PO 10132017

Weekend Review of Volatility Indexes and ETPs – 10/15/2017

There are lots of articles floating around discussing the lack of volatility in the markets along with the low level of VIX.  It’s reaching a point where we don’t have much else to say and are just waiting for a change of scenery.  With all that going on, the four volatility indexes based on SPX option pricing remained low and on average were basically unchanged last week.


There is a single data point standing out on the table below.  That is VVIX in the upper 90’s.  Despite VIX being at such low levels for such a long time, there is strong demand for VIX options, especially on the call side of the board.

VXX Table 10132017

Short volatility dominance continues with SVXY up 127% for the year and both VXX and UVXY are down dramatically.

VXX UVXY SVXY 10132017


Across the suite of volatility indexes quoted by CBOE several rose last week, earnings season is putting some upward pressure on the individual stock volatility indexes.  Silver, the Euro, and EFA (Developed markets outside of North America) were all leaders.

Vol Index Prices 10132017

Late Monday, as VXX was spending a little time over 38.00 a trader used Weekly options to take a stand that the early week strength in VXX would not last.  Specifically, they sold the VXX Oct 13th 38 Calls for 0.88 and bought the VXX Oct 13th 50 Calls for 0.11 taking in a credit of 0.77.

VXX PO 10132017

Since these options expired on Friday I can show the full outcome of the trade (if held through Friday’s close).  VXX finished the week at 35.34 well below the short strike of 38.00 which places it safely in the profit zone.

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