Tag Archives: VIX

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 […]

Weekend Review – Volatility Indexes and ETPs – 4/17/2016

The S&P 500 was up by 1.62% last week and the VXST – VIX – VXV – VXMT curve reacted accordingly shifting lower in a fairly parallel fashion. The steepness has me concerned about the second half of this year, but for now things look just peachy. Note on the table below that despite (or […]

VIX Death Cross Update

This past week I got to attend CBOE’s Risk Management Conference in Florida and finished my week at Oklahoma State as a guest lecturer.  When I travel like this I am not watching the markets as closely as I would like and as I updated charts this morning I nervously scanned the numbers used to […]

Weekend Review – VIX Options and Futures – 3/6/2016

VIX gave up over 14% as the S&P 500 tried to work back to the 2000’s last week, falling short by 0.01.  Note the steepness of the curve below with the standard March contract at over a two point premium to spot VIX. The generic curve is also a bit steep, considering it is normally […]

Weekend Review – Volatility Indexes at ETPs – 3/6/2016

The S&P 500 rose about 2.7% last week and shorter term volatility took it on the chin with VXST and VIX both down over 14%.  The longer dated volatility indexes were lower as well, but as show below, remain elevated compared to their respective averages last year.  You can read that as the market still […]

CBOE Risk Management is One Week Away

One the best parts of my job as Director of Education at The Options Institute is getting to attend each of the Risk Management Conferences offered by CBOE.  Back in the Fall the running theme at both the European and Asian versions of RMC seemed to be how the markets were shifting from a low […]

Weekend Review VIX Futures and Options 2/21/2016

VIX managed to stay in the 20’s despite the most resilient performance from the S&P 500 in 2016.  We did finally give up on the last bastion of backwardation (month 1 versus month 2) as March became the front month with February going off the board Wednesday on the open.   The generic short dated […]

Weekend Review Volatility Indexes and ETFs 2/21/2016

VXST dropped dramatically last week and closed on the lows of 2016.  VIX managed to hold up a little better and looking at the economic calendar for next week I can kind of see why.  VXST often leads VIX so a move below 20.00 next week may not be out of the question.  After I […]

Is VIX Approaching a Death Cross?

began my week updating charts and tables as I am heading to Tampa, FL to speak on options and then I’m off to Trader’s Expo in New York to deliver a couple of presentations.  The chart below, depicting the rolling 1 year and 5 year average closing prices for VIX is a favorite of mine. […]

VIX Options and Futures Review – 2/5/2016

Friday provided our first glimpse into how the economy was faring in January and the stock market apparently didn’t like what it saw.  VIX finished the day up 7% which was just under half the over 15% rise we got last week.  The February future managed an 11% gain to finish higher than spot VIX. […]

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