Tag Archives: VIX

Last Week in VIX – 11/23/2014

With the S&P 500 achieving several new highs last week VIX managed to drop back into the tweens finishing out the week at 12.90. Despite making record highs 42 through 45 this week VIX continues to trade at premium to normal levels from 2014 when records are being set. The curve is pretty darn steep […]

Last Week in Short-Term Volatility – 11/23/2014

VXST came under a bit of pressure to end the week due to the S&P 500 reaching more new highs.  The stock market strength combined with the impact of this coming week being a holiday shortened week.  For those new to VXST the explanation behind the previous sentence is the index is based on calendar days […]

Last Week in Volatility Indexes and ETPs – 11/23/2014

Four out of five days last week the S&P 500 hit a new record high. In reaction to the S&P 500 climbing to what some traders consider nose bleed territory three of the four volatility indexes based on SPX option trade dropped in value. The move lower in VXST was a bit overdone and the 7.93% move gets […]

Gauges for Tools for Portfolio Protection – VIX, SPX, SKEW, and Term Structure – By Matt Moran

Nov. 17, 2014 – When I deliver presentations on portfolio risk management to groups of financial professionals, one of the most frequent questions is “What is a better hedge for a portfolio – VIX calls or SPX puts?” A 30-page paper by Morgan Stanley in June 2014 suggested that “VIX calls are best used to […]

Last Week in VIX – 11/16/2014

A week ago I discussed what VIX was doing when the S&P 500 set recent records relative to SPX record highs set earlier in 2014. At that time there were 38 days where the S&P 500 had closed at a new all-time high, now the number is up to 41 with three records being set […]

Last Week in Volatility Indexes and ETPs – 11/16/2014

The S&P 500 set three record highs last week, you may not be aware since there was not very much fanfare surrounding record closing high numbers 39, 40, and 41 for 2014. Also, Friday’s record was almost a rounding error to the upside relative to Tuesday’s record. Sticking with a theme I latched onto last […]

Last Week in VIX – 11/9/2014

This weekend I felt like Ed Rooney. Not Ed Rooney after Ferris Bueller’s sister kicks him in the face 12 times, Ed Rooney when he kept repeating nine times to Ferris’s mom, however my number was 38. I decided to take a look at what the volatility markets did each day the S&P 500 made […]

Last Week in Volatility Indexes and ETPs – 11/9/2014

The S&P 500 made a couple more record highs last week to bring the total to 38 in 2014.  That means that 17.5% of trading days in 2014 have resulted in a record high for the S&P 500.  I bring all that up to put the curve below in context.  The red and blue lines […]

October Recap – Biggest One-Day Changes – VXTYN Up 22.3%; VXEWZ Down 46.2%; VXST Up 48.2% – By Matt Moran

This past month was one of the most volatile months of the past three years, as the CBOE Short-Term Volatility Index (VXST) rose 48.2% on October 9, and the CBOE Brazil ETF Volatility Index (VXEWZ) hit its all-time daily closing high of 72.83 on October 20 (before the re-election of Dilma Rousseff as President of […]

Options Average Daily Volume Up This Month – 1.3 Million for SPX and 1 Million for VIX – By Matt Moran

I recently showed a chart with the yearly growth in volume in options on the CBOE Volatility Index® (VIX®) to a senior executive at a financial services firm, and the executive said that the VIX options volume strong growth in recent years was hard for him to believe, in light of the fact that the […]

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