Tag Archives: VIX

Weekend Review – VIX Futures and Options – 5/29/2016

With the strength in stocks last week VIX finished the week just 0.02 higher than the 2016 closing low of 13.10. Always remember that part of the equation on Fridays when looking at VIX performance relates to a weekend impact where the market is closed for two days. This is accentuated when we have a […]

Weekend Review – Volatility Indexes and ETPs – 5/29/2016

The S&P 500 rally along with the three-day weekend effect pushed VXST to finish Friday below 10.00 for the first time since July of last year. The VXST – VIX – VXV – VXMT curve moved lower and steepened a bit based on the calendar and the strength in the market. Looking at the table below it […]

VIX History Lesson – The Fiscal Cliff in 2012

I got a question on Twitter today about the potential for a volatility short squeeze. I think the question was rooted in how much activity and open interest there is in volatility oriented derivatives, but the instance I recall that felt like the move was overdone occurred in late 2012. As the end of 2012 […]

Weekend Review – VIX Options and Futures – 5/22/2016

The combination of VIX moving lower and June becoming the front month put some pressure on the June futures last week. I think maybe the lack of news flow expected over the next couple of weeks has something to do with that as well. Note the bifurcated futures performance from last week with many longer […]

Weekend Review – Volatility Indexes and ETPs – 5/22/2016

With the S&P 500 zig zagging this week, but finishing up by just over a quarter of one percent the curve was little changed. With one exception, VXST dropped 10% after we got past the FOMC minutes and the markets started to look forward to nothing for the next couple of weeks. VIX and VXMT […]

Weekend Review – VIX Options and Futures – 5/15/2016

After starting the week off on a bullish note, the S&P 500 finished out down just over a half a percent for the week. VIX was up just a bit more than 2%, most likely being held back by weakness that was associated with the S&P 500 moving higher on Monday and Tuesday last week. […]

Weekend Review – Volatility Indexes and ETPs – 5/15/2016

There was a slight twist in the VXST – VIX – VXV – VXMT curve last week as the shorter dated indexes rose and the two long dated indexes dropped slightly. Although unusual, I am not reading too much into this as the curve was already pretty steep and remains so after relatively small changes […]

Weekend Review – Volatility Indexes and ETPs – 5/8/2016

The S&P 500 was down 0.44% last week which places the index up only 0.65% for the year. Three out of the four S&P 500 focused volatility indexes were also lower last week, despite the drop in the S&P 500. I find the longer end of the curve holding up like it has for most […]

Weekend Review – VIX Options and Futures – 5/8/2016

VIX dropped last week, with a big part of the drop coming Friday afternoon. Note the futures followed suit, but specifically note that the front month May future gave up a little more ground than spot VIX. This is sort of common when we have an employment number. Also note how flat the curve is […]

Weekend Review – VIX Futures and Options – 4/17/2016

VIX fell to 13.62 as the S&P 500 put up some gains last week. The curve shifted lower, but is steep, even the expiring April contract finished the week at about a 1.50 premium to spot VIX.   I noticed that the S&P 500 was higher than the close two weeks ago and VIX was […]

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