Tag Archives: Futures and Options

VIX Rose 32% on Thursday, as VIX Futures Now Offered Round-the-Clock – By Matt Moran

On Thursday the world experienced unsettling news as a plane was shot down in Ukraine, and there was violence in the Gaza Strip. There continues to be strong futures and options trading activity related to the recent rise in volatility indexes at CBOE. Long futures and long call options positions in volatility indexes are used […]

Panel Marks VIX Futures – 10 Years and 95 Million Volume

March 27, 2014 – A panel discussion yesterday at CBOE marked the tenth anniversary of the launch of futures on the CBOE Volatility Index® (VIX®). Four experts surveyed the development and promise of volatility products: Mike Edleson, Ph.D., CFA,  Chief Risk Officer,  Office of Investments, University of Chicago, Joanne Hill, Ph.D., Head of Investment Strategy, […]

Record Volume Month for SPXW and VIX Options, and VIX Futures – By Matt Moran

In the month of January 2014, monthly volume records were established by S&P 500 Weekly options (SPXW), and by both options and futures on the CBOE Volatility Index® (VIX®). SPXW options had average daily volume of 278,537 in January. S&P 500 Weekly options are PM-settled on the last trading day, typically a Friday. As with […]

Record Volume in 2013: VIX Futures Up 67%, and SPX Options Up 19% — By Matt Moran

JAN. 2, 2014 – Average daily volume for three key index contracts – options on the S&P 500 Index (SPX), and futures and options on the CBOE Volatility Index (VIX) — all rose to new record levels in 2013. VIX options established new record high levels for trading volume in each of the seven years […]

In 2013 GVZ “Gold Vol” Index Rose 50.6%, with 15,950 Futures Volume — By Matt Moran

JAN. 1, 2014 – While many stock indexes rose substantially in the year 2013, gold spot prices and the SPDR Gold Shares ETF (GLD) both fell 28% in the year, and the CBOE Gold ETF Volatility Index (ticker GVZ) rose 50.6%.    Viewing the chart above, the two biggest one-day moves in the year for the […]

Y-T-D GVZ is Up 38%, BXY is Up 20.5%, and VIX is Down 31.6% — By Matt Moran

Dec. 26, 2013 — Over the next week many investors will read year-end wrap-ups noting that some U.S. stock indexes recently hit all-time highs and have risen more than 30% in 2013.  This blog provides a year-to-date update on a number of other indexes and commodities that also are used in diversification and portfolio management […]

Sharpe Innovation Awards to ETF and Index That Use VIX Futures – By Matt Moran

On December 9, 2013, the annual William F. Sharpe Indexing Achievement Awards were presented at the Eighteenth Annual IMN Global Indexing and ETFs Conference in Scottsdale, Arizona.  Here are the first two awards that were presented – (1)   Indexing Innovation of the Year — S&P 500 Dynamic VEQTOR Index, which dynamically allocates long-only exposure between […]

VIX Futures – Extended Trading Hours – 21,534 Contract Volume This Week – By Matt Moran

CBOE Futures Exchange (CFE) recently introduced two extended trading hours (ETH) periods for the popular futures on the CBOE Volatility Index® (VIX®): the afternoon ETH period (3:30 pm to 4:15 pm Chicago time) launched on October 28, and the early morning ETH period (beginning at 2:00 am CT) commenced on November 4. RECENT VIX FUTURES […]

Australia’s S&P/ASX 200 VIX Index Hits 3-Month High, as Futures to Launch on 21st October – By Matt Moran

Tuesday, 8 October 2013 – Today the S&P/ASX 200 VIX® Index hit an intraday high of 16.778 (its highest value in 3 months) and closed at 16.325. The S&P/ASX 200 VIX is a real-time volatility index that provides insight into investor sentiment and expected levels of market volatility in Australia. The index tracks S&P/ASX 200 index […]

Has the VIX Been “Low” or “High”? by Matt Moran

July 10, 2013 – As I have delivered presentations on the road, I recently have heard from investors that they are surprised that the CBOE Volatility Index® (VIX®) has been relatively low compared to its long-term average, especially in light of worldwide market uncertainties and press stories.  Since 1990 the average daily close for the […]

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