Tag Archives: VIX

Weekend Review of Volatility Indexes and ETPs – 7/16/2017

We only have data going back to the 2007 – 2008 period for the non-VIX SPX related indexes on the diagram below.  VXST, VXV, and VXMT all made all-time lows, based on the history we have to work with, on the close Friday.  VIX closing at 9.51 was the third lowest on record.  However, the […]

Weekend Review of VIX Options and Futures – 7/2/2017

IX had quite a midweek move rising above 15.00 for a very short period of time before settling at 11.18 to end the week.  Note the VIX action didn’t have much of an impact on the futures contracts which can be attributed to the steep nature of the curve going into last week. I spoke […]

Weekend Review of Volatility Indexes and ETPs – 7/2/2017

I’ve been traveling like a madman on behalf of CBOE in June.  I try my best to keep up with the markets when I’m out and about, but sometimes the catch up occurs outside of real time.  This weekend is one of those catch up weekends.  I was aware of the VIX move over 15.00 […]

Weekend Review of VIX Futures and Options – 6/25/2017

VIX was a bit lower to end the week and the curve moved down as well.   We retired June last week and now July is the front month and is at a premium of just over 1.80 to finish the week. Before getting into a trade I would like to point out some heavy activity […]

Weekend Review of Volatility Indexes and ETPs – 6/25/2017

VXST was slightly higher while the rest of the SPX related volatility indexes dropped last week.  All moves were relatively small as we have truly entered the summer doldrums, at least for broad based index volatility. There’s very little exciting on the table below.  TYVIX bumped up slightly, but is still at very low levels.  […]

Weekend Review of VIX Futures and Options – 6/18/2017

VIX gave volatility bulls a little hope on Monday rising to the highest intra-day level since VIX was receding from the news flow that followed the firing of Comey by Donald Trump in the middle of May.  However, as is the norm, VIX dropped and worked lower with the curve following in suit. As Monday […]

Weekend Review of Volatility Indexes and ETPs – 6/18/2017

As the week came to a close VXST which measures 9-day volatility expectations took a dive.  Hence the big drop on the left side of the VXST – VIX – VXV – VXMT diagram below. TYVIX finished the week below 4.00 which was a first for 2017, but not outside of the long term historical […]

Weekend Review of VIX Futures and Options – 6/11/2017

VIX was higher by about 10% last week, but that did not have much of an impact on the rest of the term structure.  The futures were mixed which can be attributed to just how steep the VIX curve was going into the week. Before things turned to the upside on Friday we experienced the […]

Weekend Review of Volatility Indexes and ETPs – 6/11/2017

That little bump in VXST that shows up on the far left side of the diagram below can be attributed to Friday afternoon activity.  VXST rose 0.75 Friday while VIX was up 0.54.  Shorter dated SPX option pricing is used to calculate VXST than VIX.  It may be the weakness Friday afternoon in large cap […]

VIX Index Closes Below 10 Again, As Professor Called the VIX Level the Biggest Financial Mystery

On June 1st the CBOE Volatility Index® (VIX®) closed at 9.89. June 1st marked only the 14th day on which the VIX Index closed below 10 (its price history begins in 1990). Six of the 14 days on which the VIX Index closed below 10 occurred in 2017 (see Exhibit 1 below for a list […]

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