Tag Archives: VVIX

Last Week in Volatility Indexes and ETPs – 12/21/2014

Santa Claus did not disappoint and his annual rally took the S&P 500 up 3.41% last week.   That move took the air out of the four S&P 500 related volatility indexes with VXST leading the way and losing over 40%.   The curve shift formed the week over week ‘horn’ which I guess is appropriate for the […]

Last Week in Volatility Indexes and ETPs – 12/7/2014

With the S&P 500 racking up more record high closes last week volatility indexes dropped to levels expected when there is a strong bull market run combined with a lack of concern regarding a pull back for stock prices. We also got past the employment number, which did have a few traders on edge, without […]

Last Week in Volatility Indexes and ETPs – 11/23/2014

Four out of five days last week the S&P 500 hit a new record high. In reaction to the S&P 500 climbing to what some traders consider nose bleed territory three of the four volatility indexes based on SPX option trade dropped in value. The move lower in VXST was a bit overdone and the 7.93% move gets […]

Last Week in Volatility Indexes and ETPs – 11/9/2014

The S&P 500 made a couple more record highs last week to bring the total to 38 in 2014.  That means that 17.5% of trading days in 2014 have resulted in a record high for the S&P 500.  I bring all that up to put the curve below in context.  The red and blue lines […]

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 […]

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 […]

This Week VXST Index Rose 58.4% and VIX Index Rose 46% – By Matt Moran

This week the CBOE Short-Term Volatility Index rose 58.4%, the CBOE Volatility Index® (VIX®) rose 46%, and the S&P 500 Index fell 3.3%. More investors are looking to use volatility-based products to diversify and manage risk in their portfolios, as the preliminary estimates for the Oct. 10 (Friday) trading volumes were 1.56 million for S&P […]

Last Week in Volatility Indexes and ETPs – 9/28/2014

This is one of those weekends where I get to add a 3rd curve into the mix below. Thursday, as all of us that were not under a rock know, was a hectic day for the equity market. Hectic days in the stock market result in green days for volatility. The purple line below shows the […]

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 […]

Volatility Indexes and ETPs Last Week – 8/17/2014

Volatility came back down to what is considered ‘normal’ levels for 2014, but there was a slight twist. Note that on Friday VXST closed at a slight premium relative to VIX. I was hosting a VIP tour in the last hour of trading on Friday and things were pretty active as the S&P 500 worked […]

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