Tag Archives: VIX

VIX Last Week – 7/20/2014

What a day VIX had last week. We got a 32% plus move in VIX and the second highest VIX futures volume ever. And then we returned to the new normal of VIX being a pre-teen. When VIX moves to the upper teens and stays there it is going to be a rude awakening for […]

VXST Last Week – 7/20/2014

On Thursday VXST ran up from 10.26 to 16.23. I’ll catch some flak for this next sentence, but I’m pretty much resigned to always getting flak as long as I talk publicly about volatility markets. That means the CBOE Short-Term Volatility Index was up just over 58% which was the fourth biggest move (on a […]

Volatility Indexes and ETPs Last Week – 7/20/2014

The week over week curve changes do not even come close to doing this past week’s volatility index action any justice. I got out my back up spreadsheet that allows me to plot three lines. The result is below. Note the purple line showing the short lived volatility event from Thursday. The pattern of a […]

Volatility Index Reactions to Thursday’s Market Action

The cool weather has been making it feel like summer is ending and the markets acted like it as well. History tells us that September and October are treacherous months for the stock market and like the cool weather we got a swoon in the S&P 500 today. The result was fairly decent moves in […]

VIX Rose 32% on Thursday, as VIX Futures Now Offered Round-the-Clock – By Matt Moran

On Thursday the world experienced unsettling news as a plane was shot down in Ukraine, and there was violence in the Gaza Strip. There continues to be strong futures and options trading activity related to the recent rise in volatility indexes at CBOE. Long futures and long call options positions in volatility indexes are used […]

Why is the VIX so high?

No, our crack proofreading team didn’t muff the headline.  After several weeks of seemingly unanimous commentary about how investor complacency has resulted in VIX® levels that are “too low,” we want to ask the contrarian question.  Rather than being too low, why is the VIX so high? The question is germane because there has been […]

VIX Last Week – 7/6/2014

VIX finished the week at a post 2008 low which can be attributed to a bullish reaction to the June jobs number and an extra-long weekend.   After attributing for a guesstimate of the impact of the extra days off on spot VIX I wonder if the July VIX contract is a bit overdone to […]

Volatility Indexes and ETPs Last Week – 7/6/2014

VXST closed at an all-time low on Thursday based on a strong equity market and a three and a half day weekend. The weekend effect for volatility indexes relates to the indexes being calculated using calendar days.   In the case of VXST the measurement is nine calendar days. When there is a three day weekend […]

First Half 2014 VIX Review

The first half of 2014 is behind us and before we celebrate the birth of our nation by blowing up a small part of it I would like to take a look at the price action for VIX so far this year. The table below compares VIX in 2014 to the price action by year […]

VIX Last Week – 6/29/2014

After a few dips the S&P 500 managed to put up a slight gain last week. We have been through months of small sell offs consistently rebounding and the pattern seems to be repeating. This repetition has changed a little, with smaller market dips and quicker rebounds. Those of you that saw what the S&P […]

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