Tag Archives: VIX

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 […]

VIX Last Week

Like many people that make their living focusing on the financial markets I subscribe to @zerohedge on my twitter stream. Some of what comes from this is comical and over the top, but there are some very useful comments as well. Giving credit where credit is due @zerohedge pointed out that VIX was down 12% […]

Volatility Indexes and ETPs Last Week – 10/26/2014

The S&P 500 put up the biggest gain in almost two years last week. This put a little pressure on volatility indexes that are based on S&P 500 index option pricing.   Saying a little pressure is just being modest. The term structure change below is about as dramatic as it gets for a one week […]

The VIX Takes a Hairpin Turn

I have a neighbor who is cooler than me. He is braver than me. He also has more expansive and expensive medical and auto insurance than I do. How do I know all this? Well, he races street motorcycles. The other day I asked him what was the fastest he had ever gone. His answer: […]

VIX Last Week – October 19, 2014

At the worst point last week the S&P 500 was down 9.5% from the closing high of 2011.36 on September 18th and down about 4.5% from last Friday’s close. By Friday we came back to less frightening levels and closed the week down 6.2% from the all time closing high and down 1% on the […]

Short Term Volatility Last Week – October 19, 2014

The CBOE Short-Term Volatility Index was introduced less than a year ago and since then there have not really been any headline grabbing moves in the volatility space. That was until last week where the high range for VXST stretched from close to 20 up to almost 40. The closing VXST level on Wednesday was […]

Volatility Indexes and ETPs Last Week – October 19, 2014

I hate being a broken record in this space, but the week over week changes do not do any justice to what was last week in the equity and volatility markets. I threw the closing curve from Wednesday in the mix below when VXST closed at the highest level since December 2011.  On Monday VVIX […]

Some Volatility Trades that Worked Well in Last Week’s Action

VIX is much higher than it was early last week.  So are VXX and RVX.  Also, the S&P 500 and SVXY are both lower.  Anyone can tell you that, so I decided to do some digging and find some timely trades from last Tuesday and Wednesday (or beyond) when the idea of VIX in the […]

VIX Index Rises 73% As New Volume Records Are Set – By Matt Moran

Oct. 15, 2014 — The S&P 500® (SPX) Index declined by 5.4% and the VXST Index rose 113.3%. over the past week, and many investors are looking for havens to help protect their portfolios from left tail risk. . RECORD VOLUME TODAY Since early this month, there have been dramatic increases in trading volume in […]

Perspective on Recent VIX Action

Since we haven’t had VIX in the mid-20’s for over 2 years it is probably worth getting a little perspective on recent volatility market price action. The last time VIX was around these levels was early June 2012 when VIX got as high as 26.66.  VIX reached this level after the S&P 500 had dropped […]

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