The chart below may be one of the final references to the French Election which came to an end this weekend. Note VXST, which reflects the IV of very short term SPX options was elevated going into the weekend. I don’t think it is too much of a stretch to say that a quick drop […]
S&P 500 implied volatility was dramatically lower last week. Of significance is VXV which hit 2017 lows. I’m teamed up with an academic putting the final touches on a study showing that VXV leads VIX so this may be a signal that the low for VIX in 2017 hasn’t be established and a close below […]
The shift lower in the VXST – VIX – VXV – VXMT curve was 75% parallel and 25% dramatic. The dramatic move was at the shorter end of the curve where VXST dropped 28% moving from a premium to discount relative to VIX. As noted volatility was lower across the board. Of interest below, VVIX […]
Textbook and parallel are two terms that come to mind to described the shift in the VXST – VIX – VXV – VXMT curve below. Also, steep comes to mind as the longer dated indexes are pretty elevated when compared to VIX and VXST. The long funds below benefited from volatility increasing a bit on […]
VIX was the only S&P 500 related volatility index that lost value last week. VXST rose, probably getting a boost from coming off a long weekend. The longer dated volatility indexes mirrored the action in longer dated VIX futures by moving to the upside. April seems to be the next month of concern among volatility […]
VXST and VIX managed gains last week while the longer dated volatility indexes (VXV and VXMT) both lost value. The curve created by charting out VXST, VIX, VXV, and VXMT has been steep for most of 2017 as the shorter dated indexes have been at very low levels. The price action last week narrowed the […]
VXST dropped while the other three volatility indexes based on S&P 500 index option pricing rose slightly. This all happened despite a rise in the S&P 500 last week. Probably the most notable thing on the table below is the rise in VVIX despite the stock market and VIX not doing much last week. Focusing […]
There are two lines below although it may appear that there is only a purple line for parts of the VXST – VIX – VXV – VXMT curve. In a round about way I’m saying not a lot happened in the world of S&P 500 option volatility last week. What really stands out on the […]
S&P 500 implied volatility was lower across all four time periods that are measured by CBOE Volatility Indexes last week. VXST finished the week at 9.19 which is actually a tad higher than the low for 2016. VIX also finished near the 2016 low of 11.27 but finished 0.05 above that level. As a Trump […]
Weekend Review – Volatility Indexes and ETPs – 5/21/2017
The week over week VXST – VIX – VXV – VXMT curve moved higher and appears to have done so in a very parallel fashion. Since the week over week change doesn’t do the actual activity justice so I added the Wednesday closing curve to the graphic below. I was honestly a little surprised at […]
Financial Markets, Futures and Options, Performance, VIX
UVXY, VIX, VXX