Tag Archives: VIX

Day One of 31st Annual Risk Management Conference Agenda

CBOE’s 31st Annual Risk Management Conference (RMC) will be held March 4 – 6, 2015 at the Park Hyatt Aviara in Carlsbad, California.  RMC is the premiere financial industry conference designed for institutional users of equity derivatives and volatility products.  If you’re a financial professional interested in learning the latest risk management techniques and how […]

Last Week in VIX – 1/25/2015

The S&P 500 was strong and VIX was weak last week. We returned to contango in VIX world as the S&P 500 was up 1.6% for the week. This despite having a tough Friday. Note the February future is at a pretty nice premium to the spot index. This may be a function of the […]

Last Week in Volatility Indexes and ETPs – 1/25/2015

Last week was another roller coaster ride for the equity market and subsequently the volatility markets. The VXST – VIX – VXV – VXMT volatility curve shifted back into contango and shook off a mild market drop on Friday to stay that way. With VIX having a 16 handle, I am beginning to wonder if […]

Block Trade Analysis – VIX Jan 20 Calls from 1/20/2015

Yesterday as the trading day got started I heard a shout to my right (which is the direction of the VIX pit) as a big trade came into the VIX arena. It turns out all the hubbub was about a buyer of 80,000 VIX Jan 20 Calls who paid 0.75 for 8,370 and 0.80 for […]

Last Week in VIX – 1/18/2015

If the January VIX futures could speak they probably would say something like, “I told you so”. Of course the contracts can’t speak, but the point behind this is a week ago the January contract closed at a pretty substantial premium to VIX relative to recent history. A week later both the January contract and […]

Last Week in Volatility Indexes and ETPs – 1/18/2015

Despite Friday’s rally, the S&P 500 was down four of five days and gave up about 1.25% last week. At the worst point the S&P 500 was down over 3% on the week and then of course it shook off the dip and rallied to end the week. You can’t keep a good market down […]

Last Week in VIX – 1/11/2015

This past week was one of those where the week over week change in the VIX term structure does no justice whatsoever to the price action. The S&P 500 dropped 0.65% from Friday to Friday. However, at the worst point the S&P 500 was down 3.2% and at the highest point the S&P 500 was […]

Last Week in Volatility Indexes and ETPs – 1/11/2015

When we have volatile weeks like last week I will alter the various term structure of volatility charts included in these blogs. The first graphic is an example of this where I added Tuesday’s closing levels for VXST, VIX, VXV, and VXMT to the typical week over week curve. Something that really stands out to […]

2014 VIX Review

In 2014 VIX managed to reach the highest levels seen in over two years.  This happened despite a fairly bullish year for the S&P 500 with the index achieving a record high more than fifty times.  also, as seen below most of the VIX action occurred in the 3rd quarter after a fairly quiet summer. Some […]

2014 Nasdaq-100 Volatility Review

Of the three broad based market indexes that have tradable volatility markets, the Nasdaq-100 (NDX – 4236.28) was the clear winner in 2014. NDX rose almost 18% on the year while the S&P 500 was up 11.4% and the Russell 2000 gained only 3.5%. With the tech and biotech sector in favor for most of […]

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