Tag Archives: VVIX

Volatility Indexes and ETPs Review – 2/7/2016

VIX rose last week as did the rest of the volatility indexes that based their levels on S&P 500 Index (SPX) option pricing.  Usually in times of panic VXST (9-day volatility) rises above VIX (30-day volatility), but that was not the case this past week.  You can read this two ways – traders think stocks […]

Volatility Indexes and ETPs Review – 1/24/2016

The S&P 500 rebounded by about 1.4% last week and SPX option volatility moved a bit lower.  The VXST – VIX – VXV – VXMT curve shifted lower and flattened.  However for a bit of perspective I show where we ended 2015.  I think the comparison is a good indication that we may not be […]

Volatility Indexes and ETPs Last Week – 10/18/2015

VIX closed under 16.00 for the first time since all the hubbub that occurred in late August as the S&P 500 continued to recover last week gaining 0.90%.  Among the four S&P 500 focused volatility Indexes VIX was the biggest loser shedding almost 12%.  I had been keeping a close eye on VXV as the […]

Mid-Year Recap – Vol-selling Indexes Up; Big Jump for VIX and VVIX on June 29 – By Matt Moran

A recent Bloomberg story noted — “The S&P 500 drifted to an all-time high on May 21, before the Greece crisis overshadowed signs that a first-quarter slowdown in economic growth would prove transitory. The benchmark index tumbled 2.1 percent Monday, the most since April 2014 and erasing gains for the year, as Greece surprised investors […]

Last Week in Volatility Indexes and ETPs – 5/31/2015

Short term volatility rose last week based on stock market action and some impact from the holiday weekend. VXST’s 42% rise is partially attributed to the three day weekend being behind us and we can probably give a little credit to the day off Monday for the 14% rise in VIX. The issue that has nothing to do […]

Last Week in Volatility Indexes and ETPs – 5/17/2015

There was a slight shift in the VXST – VIX – VXV – VXMT term structure last week. VXST and VIX were down, VXV was actually up slightly and VXMT dropped. Relative to history, VXV and VXMT are higher than you would expect with the S&P 500 making all-time highs. I’m convinced the market is […]

33 Speakers at RMC Cover Skew, Vol of Vol, Options-Based Funds, etc.

At the 31st Annual CBOE Risk Management Conference (RMC) on March 4 – 6, 2015 in California, thirty-three expert speakers (see list below) spoke on a variety of subjects, including skew, volatility of volatility, and a new 2015 study with the first-ever list of publicly available list 119 Options-Based Funds. Speakers noted that Extended Trading […]

Last Week in the Volatility Markets – 2/22/2015

Usually it is pretty easy for me to come up with something new to say regarding what went on the volatility markets last week. However, it has been a lot of the same for a pretty long time now. We have now experienced three all-time highs for the S&P 500 in 2015, which is three […]

Last Week in Volatility Markets – 2/8/2015

A big up week for the S&P 500 resulted in the VXST – VIX – VXV – VXMT term structure curve returning to contango after going into backwardation to end the previous week. This sort of action is wearing thin for guys on the floor. I was even pulled aside and told that there seems […]

Last Week in Volatility Indexes and ETPs – 1/25/2015

Last week was another roller coaster ride for the equity market and subsequently the volatility markets. The VXST – VIX – VXV – VXMT volatility curve shifted back into contango and shook off a mild market drop on Friday to stay that way. With VIX having a 16 handle, I am beginning to wonder if […]

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