Tag Archives: VIX Futures

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 […]

VIX – The Enforcer

Your portfolio is like a hockey team.  You don’t think so?  It is.  And VIX plays a key role.  Stay with me while I explain. Equities are your guys playing at center and on the wings.  You expect production from them.  Your team largely lives and dies by how consistently they score.  Bonds are your […]

Last Week’s VIX Action

Most of the week Dec VIX futures were at a discount to the spot VIX index. This was despite the November employment report being released on Friday. The market yawned at the report with the S&P 500 finishing up slightly on the week and VIX finished the week basically unchanged. The December contract spent most […]

Trading VIX – Trade-off between Liquidity, Beta Exposure and Roll Cost

Besides commodities, volatility is another example of the application of futures-based indices. Spot volatility, as measured by the VIX, is not tradeable as the index represents the weighted average of implied volatilities of various options on the S&P 500. Prior to the introduction of VIX futures on the Chicago Board Options Exchange in 2004, equity […]

Performance of Selected Tradable Volatility Indices: May 2012

May 2012 was a restless month in the US equity market. The S&P 500 Index declined 6% and VIX rose 40% from 17.15 (4/30/2012) to 24.06 (5/31/2012). The S&P 500 VIX Short Term Futures Index and the S&P 500 VIX Mid Term Futures Index rose 28.71% and 13.13%, respectively. The S&P 500 Dynamic VIX Futures […]

Reaping Roll Yield from a Quasi Volatility Neutral Strategy

On February 8th, I discussed the use of the inverse VIX ETP (XIV) to collect the roll yield from the VIX futures. When stocks fall and volatility rises, however, such a naked short position drops drastically. From 4/2 to 4/10, XIV dropped from 12.29 to 9.94, and lost 19% of its value (it’s now back […]

Recent Increased Interest in Risk Management with VIX-based Products

While the VIX Index has been below 24 so far in 2012, and the VIX closed at 16.80 last Thursday (Feb. 23), the trends in trading volumes in VIX-related products indicate that there could be more recent interest in using VIX-related products for purposes of risk management for investor portfolios. The average daily volume for […]

The Volatility of Volatility: High

In a recent podcast, I was asked about the sharp spikes and steep drops in VIX levels and what that reflected; I was able to get through that with minor scars, but it got me thinking about the volatility of Volatility. Below are a couple of charts that tell the story. Chart 1 displays the […]

The Other Side of VIX

The last three months saw the VIX spot dropped quickly from 30-ish to 10-ish. No wonder XIV, the inverse ETN to the S&P 500 VIX Short-Term Futures Index, was among the top performing ETPs in January. Its return was 30.88% in January 2012 and 14.02% in December 2011. S&P Indices General Disclaimer XIV collects daily […]

Why Are There Different Prices for VIX® Spot and VIX Futures?

Investors often inquire as to why the prices and the price movements for the VIX (spot) Index and the VIX tradable instruments (futures, options, and ETPs) often are different. For example, yesterday (Tuesday, January 17th) the VIX spot closed at 22.20 and the VIX March futures closed at 25.55 (delayed price quotes are available at […]

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