Tag Archives: SPX

VXST Last Week – 7/27/2014

I like being surprised and perplexed when I look at the week over week changes in volatility indexes. What has me really scratching my head is the difference between VXST and VIX. VXST was down slightly last week while VIX rose over 5%. That’s where I start to wonder what is up. I could understand […]

VXST Last Week – 7/20/2014

On Thursday VXST ran up from 10.26 to 16.23. I’ll catch some flak for this next sentence, but I’m pretty much resigned to always getting flak as long as I talk publicly about volatility markets. That means the CBOE Short-Term Volatility Index was up just over 58% which was the fourth biggest move (on a […]

CBOE SKEW Index Rose to 143.26, Its Highest Level Since 1998 – By Matt Moran

The median of the daily closing values of the CBOE Volatility Index® (VIX®) so far this year has been 13.7, which is below the long-term median value of 18.3 for the VIX since 1990. The fact that the VIX lately has been below its long-term median has led some people to ask whether there now […]

VIX Futures Now Round-the-Clock, as ETH Volume Tops 1.68 Million Y-T-D — By Matt Moran

Futures on the CBOE Volatility Index® (VIX®) now are available nearly 24 hours a day, five days a week (see below for more details). Trading volume for VIX futures during Extended Trading Hours (ETH) has topped 1.68 million contracts so far in 2014. The charts below show key daily values in 2014 that you could […]

SPX Historic Volatility Falls To 6.89, Its Lowest Level Since Jan. 2011 – By Matt Moran

JUNE 23, 2014 – Today the 30-day historic volatility of the S&P 500® (SPX) Index fell to 6.89, its lowest level since January 2011, according to Bloomberg calculations. Chris Dietrierich of the Wall Street Journal wrote – “… The Dow Jones Industrial Average has gone 32 months without a 10% decline, the fifth-longest run on […]

Last Week in VIX – 6/22/2014

VIX is low. That could be the end of the blog, but there is more to it than just saying VIX is low. Please note I didn’t say ‘too low’ since there is no such thing. If the VIX tourists know that with the S&P 500 continuing to defy all skeptics and pushing higher VIX […]

Last Week in VIX – 6/8/2014

All market observers not on vacation are now aware that VIX closed on Friday at the lowest level since the financial crisis as the S&P 500 made new highs.   There will be market watchers that will say the very low VIX like this is a sign that the bull run is near an end, but […]

Is the VIX “Low”? SPX Historic Volatility Plunges to 7.88 – By Matt Moran

FRIDAY, MAY 30, 2014 – Lately I have heard inquiries from some stock investors as to whether the CBOE Volatility Index® (VIX®) recently has been at “low” levels; today it closed at 11.40. VIX is a reflection of the market’s expectations regarding future stock market volatility. To gain insights as to what expected volatility could […]

Last Week in VIX – 5/26/2014

VIX ended up the week pretty low, but not at the post 2008 lows we all like to focus on. Since the end of the great financial crisis VIX has closed at 11.30 twice – last year on both March 14 and 15. From March 15, 2013 to this past Friday (May 23, 2014) the […]

Last Week in VIX – 5/18/2014

VIX experienced one of those short lived spikes (I may be being generous with that word) that have become the norm. I’m referring to the price action on Thursday last week which is the only green bar on the chart below. On second thought I’m pretty certain that spike is too generous since the high […]

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