Last Week in VIX – 9/6/2015

On the traditional VIX curve we saw a pretty dramatic shift of the upside across the board.  The exception was spot VIX, but we have to attribute the smaller move to the three day weekend effect that causes VIX to close a little lower than if we were approaching a 2 day weekend.  A couple of things catch my eye on the term structure chart below.

VIX Curve Plus Table

First, the price difference between September and October has me scratching my head.  On Friday we kept hearing how the employment number may impact what the Fed decides to do on September 17.  If that were really the focus of the market I would think that the VIX future that expires after the announcement would not be at a 2.25 point discount to the contract that settles the day before the Fed’s next announcement.

The second thing that really impacted me was how much the farther end of the curve gained last week.  As VIX remains in the upper 20’s the market is adjusting for this sort of higher volatility environment to continue for the next few months.

The near dated futures curve shifted higher as well.  The September 9th future finished the week at a premium of 0.45 to spot VIX which I will attribute to the expectation that VIX will get a small boost after we all celebrate Labor Day.  With this being a holiday weekend, that contract has one more trading day and then it settles on Wednesday morning.

VIX Weekly Curve Plu Table

On Friday, as VIX rose and the S&P 500 dropped I went searching for trades to discuss this weekend.  Instead of a specific trade, I’ll just throw a theme out there.   Every big trade I saw was a seller of volatility, either through selling out of the money VIX calls or selling call spreads with the majority of this action focused on the September contracts.

Last Week in Volatility Indexes and ETPs – 9/6/2015

The S&P 500 lost 3.4% last week which I guess is becoming commonplace these days.  Do note on the curve below that VXST closed a tad lower on a week over week basis.  We attribute this to the long weekend we are currently experiencing and I’ll address that a little more in a minute.


Both VXST and VIX experience a little bit of a headwind going into long weekends.  This can be attributed to the calculations of both being based on calendar days and not trading days.  Therefore when the market is closed for three days the result is a slightly lower index than before a non-holiday weekend.  In the case of VXST this impact is more dramatic since it is a nine day volatility measure.  We have data going back to 2011 for VXST and of the 30 long weekends over this time period VXST has dropped 22 times on the Friday before, but risen 29 times on the day after the long weekend.  So based on history we have a 96.7% chance of VXST rising Monday.

The combination of the drop the in S&P 500 and move higher in VIX futures benefitted the heavily traded VXX last week which rose twice as much as VIX.  In addition to VIX futures gaining value last week, VXX benefitted from the continued state of backwardation between the September and October VIX futures contracts.  For those keeping score VIX month 1 – month 2 backwardation has been in place for 11 consecutive days.

VXX Table

Despite the state of backwardation, one trader did a pretty good job selling volatility on Wednesday this past week.  With VXX hovering around 30.00 there was a seller of the VXX Sep 4th 30.00 Calls at 1.18 who then got some protection from buying the VXX Sep 4th 31.50 Calls for 0.60 thus taking in a net credit of 0.58.  The goal here is VXX closing under 30.00 on Friday, which it did after making a few small moves over that key level during the trading day.  If the trader sweated it out and held to the close they were rewarded with a profit equal to the credit of 0.58.


New VIX Weeklys – More Responsiveness in Recent Weeks – by Matt Moran

VIX® Weeklys futures began trading at CBOE Futures Exchange (CFE®) on July 23, 2015. VIX Weeklys options are expected to begin trading at CBOE® on October 8, 2015. One of the most important features of the new VIX Weeklys is the fact that these products have the potential to provide more trading precision and responsiveness for investors.

Note in the first chart below that the VIX Weekly futures (Wk 34, expiring on August 26) generally were much more responsive than the VIX futures with standard expiration in September and October. In the three trading days ending on August 24, the S&P 500 Index fell 9% and the VIX Weekly futures (Wk 34) rose 147%.

1 - VIX fut AugIt is interesting to compare the charts above and below and note that the SPX put-call ratio jumped as the VIX Index rose.
2 - Put call Aug
More Precision and Responsiveness. 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. The closer VIX futures and options are to expiration, the more closely they generally track 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.

Ticker Symbols. Quotes for VIX Weeklys will be listed within the existing VIX futures and options chains. More information is at

Last Week in VIX – 8/30/2015

I’m depending on my aging mental capacity in lieu of spending the time to go through the last four years of VIX recap blogs for the following statement.  I have no recollection of a shift in the VIX term structure curve that replicates what shows up below.  VIX lost value on the week, while all the futures contracts moved higher.  Last Friday, spot VIX ran up quickly at the end of the day, but the futures remained at lower levels.  To get back to a more ‘normal’ environment, we needed either a drop in VIX or a rise in the futures pricing.  We actually got both with the front month September contract gaining almost 23% while VIX dropped by 7%.

VIX Curve + Table

The next chart and table is relatively new to this space and is a depiction of VIX and the next five weekly VIX futures contracts.  For an apples to apples comparison the contracts are consistently rolled.  So Week 1 on 8/21 was the August 26th contract while Week 1 for 8/28 is the September 4th contract.   Do note that a week ago the near term future was at a discount of 3.255 while this past Friday the near term future is basically in line with spot VIX (for the quants it is actually at a slight premium).

VIX Weekly Curve + Table

As the week came to an end, which could not have come too soon for most traders, there was a fairly aggressive bear call spread traded in the VIX pit.  There was a seller of the VIX Sep 16 Calls at 9.00 who also purchased the VIX Sep 20 Calls for 5.94 for net credit of 3.06.  The payout at September expiration along with where VIX and the September future finished the week shows up below.


At expiration the trade makes money below 19.06 and if we get a dip to 16.00 or below then both call options expire with no value and the trader gets to keep the credit of 3.06 that was taken in when the trade was initiated.

Last Week in Volatility Indexes and ETPs – 8/30/2015

Under no circumstances does the week over week change in the VXST – VIX – VXV – VXMT curve tell the story of last week.  There’s something worth noting, but last week is not done any justice at all if a line showing Monday closing prices is not included, therefore it is.

VXST VIX VXV VXMT End of Week - Corrected

What strikes me as noteworthy about the week over week change in something that is very subtle on the term structure chart that appears above.  Note that VXV and VXMT actually rose last week.  That can be taken as an indication that option traders are still bracing for more downside in the equity market, however they aren’t concerned about near term price moves.

The little loved VIX of VIX (VVIX) popped up on Monday and screamed for attention.  Unfortunately, with the exception of Adam Warner from Schaeffer’s Research, the all-time high put in by VVIX on Monday was kind of lost in all the other stats being thrown around after Monday’s equity market drop.  The chart below shows the whole history of daily closing prices for VVIX and do note on the far left that line pops up about 20 points higher than the previous record high.


Giving credit where credit is due, Adam’s blog appears in the link below –

To quote a really smart guy, “VXX did what it is supposed to do” last week in conjunction with the dramatic move higher in volatility.  A common complaint pops up when VIX rises and VXX lags, interestingly the opposite happened on a week over week basis.  VXX is a mixture of September and October VIX futures, both of which were up over 20% last week.

VXX Table Corrected


Last Week in VIX – 8/23/2015

VIX more than doubled last week in what was the biggest week over week percent change for VIX in history. Specifically VIX rose 118% from Friday to Friday.   This past week was August settlement week for VIX futures and options. In the past this would mean that the next expiring future would have weeks of trading left. However, we now have VIX Weeklys trading at the CBOE Futures Exchange. More on that in a minute.

The curve shifted higher and into backwardation last week. The cheapest future among the standard monthly expiring contracts was the December contract. Note the September contract rose over 31% as the biggest gainer among the futures on this table.

VIX Monthly Cuve Plus Table

Below is a new graphic that I will start including as part of this weekly update.   A little explanation is in order. Week 1 represents the change in price between the VIX future than expired last week and the Friday close for the future that will expire this coming Wednesday. The idea is to have a comparison of the near dated futures along with the levels of the soon to expire contracts relative to each other and spot VIX.   Note the VIX future expiring on August 26th settled Friday at 24.775, just over 3 points lower than spot VIX. This is much more in line with the current VIX index price of 28.03 than the September future that finished the week at 19.90.

VIX Weekly Curve Plus Table

I searched around for volatility sellers on Friday and they appeared to be out in force. I wanted to find something a little out of the ordinary which is never really an issue in the VIX space. Mid-day on Friday there was a seller of the VIX Sep 14 Calls at 5.15 who also sold VIX Sep 20 Calls at 2.55 and then finished up by purchasing the same number of VIX Sep 30 Calls for 0.85 and a net credit of 6.85. The result is a trade that is not for the faint of heart and results in the payout at September expiration that is displayed below.


Break even for this trade is 20.85 and then losses mount quickly until VIX hits 30, then a partial hedge slows thing down a bit. However, theoretically that line continues to move lower past the 30 price level.

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



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