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


Ten New CBOE Benchmark Indexes – Tools for Risk Management and Yield-enhancement

Today CBOE® announced in a press release that it has created 10 new options-based strategy performance benchmark indexes that are designed to highlight the long-term utility of options as risk management and yield- enhancing investment tools. CBOE will disseminate intra-day values for the new benchmarks beginning August 3, 2015 at the page The new benchmark indexes use popular S&P 500® Index (SPX) Weeklys options to create new versions of two of CBOE’s flagship strategy benchmark indexes — the CBOE S&P 500 BuyWrite Index (BXM) and the CBOE S&P 500 PutWrite (PUT) Index — as well as completely new risk-managed option selling strategies featuring S&P 500 Index (SPX) and CBOE Volatility Index® (VIX®) options.


Six of the ten new indexes (as well as CBOE’s BXM, PUT and CLL indexes) have data history going back more than 29 years, to June 30, 1986.

While there still are some investors who think that all options strategies are inherently volatile and risky, a very striking fact is shown in Exhibit 1 below – all nine of the options-based benchmark indexes in the Exhibit had less volatility over the 29-year time period than the three “traditional” indexes – the S&P 500®, MSCI EAFE®, and S&P GSCI indexes.

Exhibit 1

1 - St Dev

A description of each index follows:

1. CBOE S&P 500 Multi-Week BuyWrite Index (BXMW)
The CBOE S&P 500 Multi-Week BuyWrite Index is designed to track the performance of a weekly covered call strategy with staggered short positions in call options expiring in consecutive four week options. The BXMW Index is constructed as a combined portfolio of four mini BuyWrite indexes. Expirations are staggered so that the BXMW Index sells four-week options on a rolling weekly basis.
2. CBOE S&P 500 One-Week PutWrite Index (WPUT)
The CBOE S&P 500 One-Week PutWrite Index is designed to track the performance of a strategy that sells an at-the-money (ATM) S&P 500 Index (SPX) put option on a weekly basis. The maturity of the written SPX put option is always one week to expiry. The written SPX put option is fully collateralized by a money market account.

3. CBOE S&P 500 Zero-Cost Put Spread Collar Index (CLLZ)
The CBOE S&P 500 Zero-Cost Put Spread Collar Index is designed to track the performance of a low volatility strategy that 1) holds a long position indexed to the S&P 500 Index; 2) on a monthly basis buys a 2.5% – 5% S&P 500 Index (SPX) put option spread; and 3) sells a monthly out-of-the-money (OTM) SPX call option to fully cover the cost of the put spread.

4. CBOE S&P 500 Iron Condor Index (CNDR)
The CBOE S&P 500 Iron Condor Index is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly out-of-the-money (OTM) S&P 500 Index (SPX) put option (delta ≈ – 0.15) and a rolling monthly out-of-the-money (OTM) SPX call option (delta ≈ 0.15); 2) buys a rolling monthly OTM SPX put option (delta ≈ – 0.05) and a rolling monthly OTM SPX call option (delta ≈ 0.05) to reduce risk; and 3) holds a fixed income account which is rebalanced on option roll days to limit the downside return of the index.

5. CBOE S&P 500 Iron Butterfly Index (BFLY)
The CBOE S&P 500 Iron Butterfly Index is designed to track the performance of a hypothetical option trading strategy that 1) sells a rolling monthly at-the-money (ATM) S&P 500 Index (SPX) put and call option; 2) buys a rolling monthly 5% out-of-the-money (OTM) SPX put and call option to reduce risk; and 3) holds a fixed income account which is rebalanced on the option roll day to limit the downside return of the index.

6. CBOE VIX Strangle Index (STGV)
The CBOE VIX Strangle Index is designed as a premium capture index. The index overlays short CBOE Volatility Index (VIX) call and put options with a capped long VIX call option position. The position is collateralized by fixing the number of strangles such that 80% of capital is reserved.

7. CBOE S&P 500 Covered Combo Index (CMBO)
The CBOE S&P 500 Covered Combo Index is designed to track the performance of a “short strangle” strategy collateralized by a portfolio holding a long position indexed to the S&P 500 Index and a fixed income account. The CMBO Index sells a monthly at-the-money (ATM) S&P 500 Index (SPX) put option and a monthly 2% out-of-the-money (OTM) SPX call option. The short put position is fully collateralized by the money market account and the 2% OTM SPX call is collateralized by the long SPX Index position.

8. CBOE S&P 500 5% Put Protection Index (PPUT)
The CBOE S&P 500 5% Put Protection Index is designed to track the performance of a strategy that holds a long position indexed to the S&P 500 Index and buys a monthly 5% out-of-the-money (OTM) S&P 500 Index (SPX) put option as a hedge.

9. CBOE S&P 500 30-Delta BuyWrite Index (BXMD)
The CBOE S&P 500 30-Delta BuyWrite Index is designed to track the performance of a yield-enhancement strategy that holds a long position indexed to the S&P 500 Index and sells a monthly out-of-the-money (OTM) S&P 500 Index (SPX) call option. The call option written is the strike nearest to the 30 Delta at 10:00 a.m. CT on the Roll Date. The BXMD Index rolls on a monthly basis, typically every third Friday of the month.

10. CBOE S&P 500 Conditional BuyWrite Index (BXMC)
The CBOE S&P 500 Conditional BuyWrite Index is designed to track the performance of a yield-enhancement strategy that holds a long position indexed to the S&P 500 Index and sells a monthly at-the-money (ATM) S&P 500 Index (SPX) call option. The written number of ATM call options will be either ½ unit or 1 unit and will be determined by the level of the CBOE Volatility Index (VIX Index) when the call option is written on the Roll Date. The BXMC Index rolls on a monthly basis, typically every third Friday of the month.


Exhibits 2 and 3 show that the new CBOE S&P 500 30-Delta BuyWrite Index (BXMD) had higher returns than the three “traditional” indexes – the S&P 500®, MSCI EAFE®, and S&P GSCI indexes.

Exhibit 2

2- Annual Ret
Exhibit 3
3 line chart
Exhibit 4 provides a histogram showing that the CBOE S&P 500 30-Delta BuyWrite Index (BXMD) has had fewer extreme moves (up or down) than the S&P 500 Index.

Exhibit 4

4 Histogram


Manager testimonials and a 2015 study on funds’ use of options can be found at

More information about CBOE’s current and new benchmark indexes will be available next week at

Panel of Experts in NYC Discusses New VIX Weeklys Futures and Options — By Matt Moran

On July 16 in New York City, a panel of four volatility experts – Mark Chen, Managing Director, Citigroup; Joe Aiken, Managing Partner, Malachite Capital Management; Krag “Buzz” Gregory, Managing Director, Goldman Sachs; and Jim Lubin, Managing Director; CBOE Futures Exchange, LLC (CFE®), had a lively and upbeat discussion on the topic of Managing Portfolios with VIX® Weeklys Futures and Options.

0-Pics of 3 ExpertsCFE plans to list futures with weekly expirations on the CBOE Volatility Index® (VIX) beginning at 3:30 P.M. CT on Wednesday July 22 (this is the beginning of the July 23 trading day), subject to regulatory review. VIX Weeklys options at CBOE are expected to follow on a later date, also subject to regulatory approval.

At the panel discussion, strong interest was expressed in being able to trade volatility products with more expirations around-the-clock, and much of the discussion focused on recent Sunday night VIX trading in reaction to weekend events in Greece.

Key points about the new VIX Weeklys futures and options include –

• The new VIX Weeklys futures and options will offer more expirations that have the potential to provide more precision and responsiveness for investors. There will be more expirations for VIX futures and options, with the expected convergence of VIX futures to the cash settlement price available four to five times a month instead of once a month.
• The addition of weekly expirations to standard monthly futures and options expirations offers volatility exposures that more precisely track the performance of the VIX Index.
• By ‘filling the gaps’ between monthly expirations, investors may obtain new opportunities to establish short-term VIX positions, and fine-tune the timing of their hedging and trading activities.
• The closer VIX futures and options are to expiration, the more closely they generally track the VIX Index.
• VIX Weeklys provide a natural extension of the VIX offering with a standard VIX term structure. VIX Weeklys offer investors additional short-dated volatility plays while leveraging an already liquid product.
• The beta, or measure of how closely the contract tracks the underlying, increases as it approaches expiration. That also means the Weeklys could be more reactive to the release of economic reports and other market-moving events. By adding more expirations, CBOE is giving investors additional opportunities to trade VIX futures with a high beta to the VIX Index.
• The new VIX Weeklys will be quoted in the same VIX chain on quote screens offered by Bloomberg and other quote vendors.

Below is a sampling of some of the many charts discussed during the panel.

After news broke on the weekend of June 27 that the banks in Greece would be closed, trading volume for VIX futures in the Extended Trading Hours session (5:00 p.m. (Sunday) to 8:30 a.m. (Monday)) spiked to 60,144 contracts. The panel noted that many volatility traders followed the VIX futures the night of Sunday, June 28.

1-VIX Futures ETH

As shown in the table below, on the morning of June 29 the VIX Index rose 2.45 points and the July VIX futures were up 0.95.

2-VIX futures on June 29

It is expected that this week there VIX Weeklys futures with expirations on Aug. 5 and Aug. 12 will be listed, and then later the VIX Weeklys futures with Aug. 26 expiration will be listed.

3- Expira Dates and Tickers

In an analysis of more than 2,700 dates, VIX futures had a beta of 0.79 with one day to the VIX standard expiration, while the VIX futures had a beta of 0.39 with 33 days to standard expiration.

4- Beta

Several attendees and panelists noted that the strong growth in volume for S&P 500 Weeklys options could be a very good sign for the potential for growth of the VIX Weeklys futures and options.

5-SPX Weeklys adv

For more information regarding the new VIX Weeklys, please visit

Last Week in TYVIX – 7/19/2015 by Catherine Shalen

TYVIX in the Aftermath of the October 15, 2014 Flash Crash

On Monday, July 13, staff members from the U.S. Department of Treasury, the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, the U.S. Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission released a joint report on the exceptional Treasury volatility that occurred on October 15, 2014.

The behavior of the TYVIX Index since October 2015 provides a new angle to the story. Putting together the conclusions of the report and the views from the Street, the story is that banks’ paring of inventories of Treasury securities and high frequency trading may have accelerated the pressure from hedge funds that were unwinding short positions in Treasury futures and options. Predictably, on October 15, 2014, as the spot Treasury market was mired in what traders called a “gamma trap” from 9:30 a.m. to 9:45 a.m., the TYVIX Index surged. What is less predictable is the aftermath. First, the flash crash propelled the TYVIX to a higher range. Second, the pattern of variations of the TYVIX changed. As illustrated in Figure 1, the length and amplitude of TYVIX Index fluctuations increased compared with the preceding period. Whatever its roots, the jolt on October 15, 2014 energized TYVIX.

Figure 1: TYVIX On, Before and After October 15, 2014

CS - Fig 1

Last week’s storm is over. Greece got a reprieve, additional U.S. mixed economic data were released, and Fed Chair Janet Yellen confirmed that the Federal Reserve’s target rate for fed funds will gradually increase this year. This seemed to reassure equity, bond and FX markets: the TYVIX decreased by 15%, EUVIX decreased by 12%, BPVIX by 3% and JYVIX by 9%. The 10-year Treasury note yield also declined.

Figure 2: Current Week in Volatility

CS Fig 2 FIxed


In spite of this week’s volatility decline, the TYVIX Index still is above its values set in April 2014, when the index started to turn upwards. Interestingly, TYVIX has since underestimated the realized volatility of 10-year Treasury note futures. See Figure 3.

Figure 3: Expected Less Realized Treasury Volatility

CS Fig 3

Prices of TYVIX futures followed the same course as the TYVIX Index and fell throughout the week. As of the open on Friday, July 17, 2015, October 2015 TYVIX futures predicted average Treasury volatility of 5.80 in November 2015.

Figure 4: TYVIX and TYVIX Futures Pricing

CS Fig 4


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