Tag Archives: VIX

Extended Trading Hours Volume at Record High So Far This Month – By Matt Moran

CBOE will host the 3rd Annual Risk Management Conference Europe on September 3 – 5 at the beautiful Powerscourt Hotel in Ireland. I anticipate that one of the main topics at the conference will be – how can investors manage risk around the clock, especially during non-US trading hours? CBOE has positive developments to report […]

VIX Last Week – 8/24/2014

VIX finished the week down almost 13% at 11.47. This closing price was only 0.17 higher than the 2014 low of 11.30. Do keep in mind that the 11.30 deserves some sort of asterisk as it came Thursday before the 3 ½ day Independence Day holiday. If the S&P 500 moves up this coming week […]

Volatility Indexes and ETPs Last Week – 8/24/2014

The four S&P 500 volatility indexes dropped last week as the stock market measure made new all-time highs. The VXST discount to VIX may be attributed to very little in the way of significant economic news coming in the next few days.   In the ETP space the long oriented funds that focus on the […]

VXST Last Week – 8/24/2014

The S&P 500 made new highs and VXST ran for cover almost hitting the single digits this past week dropping 24%. VXST takes a cue from what the S&P 500 is doing, but also has a forward looking component as well. There is very little in the form of known unknowns in the next week […]

Quantifying VIX Contango and Backwardation

I’m in the process of updating different VIX related charts and statistics for next week’s three day VIX webcast series. I realized it has been a while since I addressed the topic of VIX contango and backwardation.   For those unfamiliar with these terms, a picture is worth a thousand words. The term structure illustration below […]

CBOE Hosting Three Free VIX Education Webcasts Next Week

In just under a week The Options Institute at CBOE will be offering three free webcasts discussing different aspects of the CBOE Volatility Index or VIX. On Monday August 25th I’ll start out with the basics of volatility indexes and introducing exactly what VIX is measuring.  In addition we will look at how the index has historically behaved […]

12 Key Stats Re: VIX Index — By Matt Moran

In the recent August 16 Striking Price column in Barron’s, Steven Sears authored a piece entitled “A New Vision of VIX” that noted – “Over the past 21 years, the CBOE Volatility Index, or VIX, has emerged as one of Wall Street’s most watched sentiment indicators. … Krag “Buzz” Gregory, a Goldman strategist, found that […]

Volatility Indexes and ETPs Last Week – 8/17/2014

Volatility came back down to what is considered ‘normal’ levels for 2014, but there was a slight twist. Note that on Friday VXST closed at a slight premium relative to VIX. I was hosting a VIP tour in the last hour of trading on Friday and things were pretty active as the S&P 500 worked […]

Emerging Market Volatility Last Week – 8/17/2014

The emerging market sector continues to perform well in 2014. This performance comes in spite of the iShares MSCI Emerging Markets ETF (EEM – 44.51) having about 5% of the fund exposed to Russia. EEM rose about 1.8% last week which places the fund up more than 7% for the year. VXEEM dropped over 14% […]

Short-Term Volatility Last Week – 8/17/2014

VXST was displayed the expected amount of calm over a week where the S&P 500 rose over 1%. The only real excitement came via a little noise on Friday morning. After a bit of a swoon and by the end of the day the S&P 500 was almost unchanged. I guess the time frame for […]

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