Tag Archives: VVIX

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 […]

Volatility Indexes and ETPs Last Week – 8/3/2014

After checking in on the four S&P 500 oriented volatility indexes I realized part of what I see is expected and the other part is a little worrisome. VXST was up just over 60% last week. I love how I type that and move on. Any other market has a 60% move and there is […]

Volatility Indexes and ETPs Last Week – 7/20/2014

The week over week curve changes do not even come close to doing this past week’s volatility index action any justice. I got out my back up spreadsheet that allows me to plot three lines. The result is below. Note the purple line showing the short lived volatility event from Thursday. The pattern of a […]

Volatility Indexes and ETPs Last Week – 6/15/2014

The S&P 500 had a slight setback of a week with the result being a heck of a rebound in VXST and VIX, at least on a percentage basis. Of course both VXST and VIX rebounded off of what can be mildly referred to as a low base price and in the words of one […]

Last Week in VIX Indexes and ETPs – 5/11/2014

When I started putting together the term structure chart showing a comparison of the week over week changes for VXST, VIX, VXV, and VXMT I got a little scared. Basically with VXST and VIX both barely changed for the week I was afraid the two lines on the chart below would appear as one. The […]

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