Tag Archives: Options

Big Week for VIX re: Backwardation, Big Moves and Volume, ETH, Put/Call Ratio, and Bollinger Bands – by Matt Moran

After the news broke last Sunday (June 28) regarding the closing of banks in Greece, worldwide markets for stocks and oil plunged, and investors sought assets that could rise and serve as diversifiers. The VIX® July futures prices responded by rising from 14.525 on June 26 to 17.375 on the next trading day (June 29). […]

On Sunday Night VIX Futures Volume Topped 26,600, as VIX Futures Rose 10.8% – By Matt Moran

       Managing Volatility Around-the-Clock SUNDAY, JULY 28 AT 11 PM CT – Tonight the VIX futures estimated volume topped 26,600 contracts, and the VIX nearby (July) futures rose 10.8% in the time period from 5 p.m. to around 10:30 p.m. Chicago time. News stories tonight indicated that the Euro, many Asian stock indexes, and U.S. […]

Record Volume Today in ETH Session for VIX Options – By Matt Moran

June 16, 2015 – Yesterday the CBOE Volatility Index® (VIX®) rose to its monthly closing high of 15.39, and earlier today in the June 16 Extended Trading Hours (ETH) sessions, the estimated trading volumes during ETH were 30,920 for VIX futures (the high for the month), and 6,984 for VIX options (the all-time record high). […]

New Study Presents First-Ever List of 119 Funds That Use Options – By Matt Moran

A groundbreaking new study — “Highlights of Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs” — analyzed SEC-regulated investment companies that focus on use of exchange-listed options for portfolio management (options-based funds). Key highlights of the study are summarized below, and for more analysis please visit www.cboe.com/funds. CO-AUTHORS of the CBOE-commissioned study (on […]

VXEWZ Index at All-time High of 72.83 As Brazilian Election Nears – By Matt Moran

Oct. 20, 2014 – Today’s closing price was an all-time daily closing high of 72.83 for the CBOE Brazil ETF Volatility Index (VXEWZ), which reflects the implied volatility of the EWZ ETF. Futures and options on the VXEWZ Index provide investors with tools to manage exposure to Brazil, the EWZ ETF, and related volatility. A […]

VIX Index Rises 73% As New Volume Records Are Set – By Matt Moran

Oct. 15, 2014 — The S&P 500® (SPX) Index declined by 5.4% and the VXST Index rose 113.3%. over the past week, and many investors are looking for havens to help protect their portfolios from left tail risk. . RECORD VOLUME TODAY Since early this month, there have been dramatic increases in trading volume in […]

12 Key Stats Re: VIX Index — By Matt Moran

In the recent August 16 Striking Price column in Barron’s, Steven Sears authored a piece entitled “A New Vision of VIX” that noted – “Over the past 21 years, the CBOE Volatility Index, or VIX, has emerged as one of Wall Street’s most watched sentiment indicators. … Krag “Buzz” Gregory, a Goldman strategist, found that […]

RMC Europe to Feature Speakers from BlackRock, Parametric, et al. – By Matt Moran

The 3rd Annual CBOE Risk Management Conference (RMC) Europe will be held at the beautiful Powerscourt Hotel, Enniskerry, County Wicklow, Ireland, on Sept. 3 – 5, 2014. The tentative agenda for RMC Europe is posted at http://www.cboermceurope.com/agenda, and a list of select speakers also is below in this Blog. The many topics to be covered […]

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 […]

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