Tag Archives: VIX

Market Myopia

As investors, we necessarily rely on history.  How we analyse that history is particular to each investor – some will look for technical patterns, some at fundamental data, still others will build quantitative models.  But all of us need data, and history is our only source. We may have to rely on history; we don’t […]

Last Week in VIX – 9/7/2014

A general takeaway from the CBOE RMC Europe conference last week is that the stock market seems ready for some sort of correction. You would not get that sense by looking at VIX and seeing a 12 (or lower) closing handle for every day over the past three weeks. However, looking at things in context, […]

Last Week in Short-Term Volatility – 9/7/2014

VXST moved up a little on Monday, as it always does after a long weekend and worked higher into Friday’s employment report on Friday. Note that on Friday, with the S&P 500 under a little pressure, VXST actually opened lower. We are still getting a feel for how VXST acts around big economic numbers and […]

Last Week in Volatility Indexes and ETPs – 9/7/2014

The S&P 500 pulled out a gain for the week through shaking off what was called a bad employment report this past Friday. VXST and VIX rose as well for the week while the longer dated volatility indexes were down slightly. We have to attribute some of the VXST and VIX gains to rebounding from […]

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 […]

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