Ten Year Chart Of VIX Index ......... [spike is 2008 crash ] ...*


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Tech Sector Index is Top Performer in 2017, as Options on Ten Select Sector Indexes Are Planned

One of the most frequent types of questions I receive from investors involves the topic of year-to-date performance.  Many investors are very interested in tracking how indexes have performed in the current year.

As shown in the two charts below, of the ten S&P Select Sector indexes, the top and bottom performers in terms of price index returns in 2017 (through November 7) were the S&P Technology Select Sector Index (IXT), which was up 32%, and the S&P Energy Select Sector Index (IXE), which was down 6%.

1 3 indexes 2017 Tech Sector Index is Top Performer in 2017, as Options on Ten Select Sector Indexes Are Planned at vixtrade.com

2 11 indexes in 2017 Tech Sector Index is Top Performer in 2017, as Options on Ten Select Sector Indexes Are Planned at vixtrade.com

HISTORIC VOLATILITY IN 2017

So far in 2017, the averages of the daily 20-trading day historic volatilities (through September 7) were:

  • 13.4 for the S&P Technology Select Sector Index (IXT);
  • 9.8 for the S&P Energy Select Sector Index (IXE);
  • 6.8 for the S&P 500 Index (SPX); and
  • 3.2 for the Cboe S&P 500 PutWrite Index (PUT), an index that sells cash-secured SPX put options.

2 5 Hist vola in 2017 Tech Sector Index is Top Performer in 2017, as Options on Ten Select Sector Indexes Are Planned at vixtrade.com PLANS FOR OPTIONS ON SELECT SECTOR INDICES

 Cboe Global Markets has announced plans to expand its suite of product offerings tied to S&P Dow Jones Indices with the planned launch of options on the ten S&P Select Sector Indices that comprise the S&P 500 Index, a key benchmark of the U.S. equities market.

  • Options will be available on 10 sectors that comprise the S&P 500, pending regulatory approval.
  • The new options are expected to hold particular market appeal for European investors interested in targeted exposure within key U.S. equity benchmarks.
  • Further expands Cboe’s successful suite of products tied to S&P Dow Jones Indices, with trading and settlement features similar to Cboe’s S&P 500 options (SPX).

 WEIGHTINGS FOR S&P SELECT SECTOR INDICES

The S&P Technology Select Sector Index (IXT) has the largest weighting of all the ten S&P Select Sector indexes.

3 sector weights Tech Sector Index is Top Performer in 2017, as Options on Ten Select Sector Indexes Are Planned at vixtrade.com

EUROPEAN INVESTORs, UCITS, AND CASH-SETTLED INDEX OPTIONS

Cboe Select Sector Index options are designed to potentially be problem-solvers for European asset managers who want exposure to these U.S. index sectors, but cannot hold physical delivery exchange-traded product (ETP) options in their funds because of EU regulations around UCITS (Undertakings for the Collective Investment of Transferable Securities). The options on the Select Sector Indexes are designed to provide simple, straightforward market access to these key U.S. equity sectors for European investors.

MORE INFORMATION

 For more information on the planned options on S&P Select Sector Indices, including links to more than 100 price charts, and a Fact Sheet with key options specifications, please visit www.cboe.com/Sectors.

 Tech Sector Index is Top Performer in 2017, as Options on Ten Select Sector Indexes Are Planned at vixtrade.com >

VIX Index Hits All-Time Daily Closing Low Value of 9.14

On November 3 the Cboe Volatility Index® (VIX®) closed at 9.14, an all-time record low for both a daily and weekly closing value for the index.

1 VIX highest lowest 1 VIX Index Hits All Time Daily Closing Low Value of 9.14 at vixtrade.com

While the news media often focuses on the spot VIX Index, volatility traders analyze the price movements of VIX futures. The prices for VIX futures at the close on November 3 ranged from 10.1 to 16.4.

2 VIX futures Nov 3 VIX Index Hits All Time Daily Closing Low Value of 9.14 at vixtrade.com

3 VIX Nov 3 VIX Index Hits All Time Daily Closing Low Value of 9.14 at vixtrade.com

In light of the fact that the VIX Index recently has been well below its long-term average of 19.4, some observers might question whether there might be too much complacency in the markets. However, it is worth noting that the Cboe SKEW Index usually has been well-above its long-term average of 118.6 in recent months. www.cboe.com/skew.

4 SKEW Nov 3 VIX Index Hits All Time Daily Closing Low Value of 9.14 at vixtrade.com

Investors can learn more about use of VIX futures and options at www.cboe.com/VIX and at upcoming Cboe Risk Management Conferences

  • Cboe RMC Asia. Dec. 5 – 6, 2017   at Conrad Hong Kong  www.cboermcasia.com;
  • Cboe RMC US. March 7 – 9, 2018   at Hyatt Regency Coconut Point, FL  cboermcus.com;
  • Cboe RMC Europe. Sept. 12 – 14, 2018 at Powerscourt Hotel in Enniskerry, Ireland www.cboermceurope.com.

 

 VIX Index Hits All Time Daily Closing Low Value of 9.14 at vixtrade.com >

Weekend Review of VIX Futures and Options – 10/29/2017

VIX finished the week lower, but notice the change for the standard first, second, and third month futures which was green for the week.  VIX may have dropped at the end of the week, but the VIX futures are acting like the volatility players are not expecting the move lower to hold.

 Weekend Review of VIX Futures and Options – 10/29/2017 at vixtrade.com

One trader took advantage of the volatility strength on Wednesday to get short volatility using Weeklys futures.  With VIX around 12.90 and the Nov 8th Future at 13.00 there was a small buyer of the VIX Nov 8th 13 Puts at 1.50.  They goal here is for VIX to move lower and November 8th settlement to be in line with what has been common lately, a 10 or even 9 handle.  The break-even on this trade at expiration is 11.50 so if things go back to 2017 normal this may be a smart, well-timed fade of VIX moving up this week.

 Weekend Review of VIX Futures and Options – 10/29/2017 at vixtrade.com

 Weekend Review of VIX Futures and Options – 10/29/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 10/29/2017

Of the four volatility indexes based on SPX option pricing, only VIX was lower last week.  This is the second week where the longer dated indexes (VIX3M and VXMT) rose while VIX was lower.

 Weekend Review of Volatility Indexes and ETPs – 10/29/2017 at vixtrade.com

Despite VIX dropping the long ETPs gained ground last week.  This is a great lesson in what these products give you, exposure to VIX futures and both the November and December contracts rose slightly despite the drop in VIX.

 Weekend Review of Volatility Indexes and ETPs – 10/29/2017 at vixtrade.com

Of note on the table below is the majority of green lines versus reddish lines.  It’s been rare in 2017 that more volatility indexes rise than drop on a week over week basis.

 Weekend Review of Volatility Indexes and ETPs – 10/29/2017 at vixtrade.com

On Wednesday VXX spent some time above 38 and when the popular ETN was around 38.50 someone came in and decided the move wouldn’t run to the low 40’s through the end of the week.  Specifically there was a seller of the VXX Oct 27th 42 Calls for 0.51 who purchased the VXX Oct 27th 45 Calls for 0.26 and a credit of 0.25.  The risk here is VXX over 45.00 and a loss of 2.75.  However, there wasn’t much danger of this happening as VXX turned to the downside shortly after this trade.

 Weekend Review of Volatility Indexes and ETPs – 10/29/2017 at vixtrade.com

 Weekend Review of Volatility Indexes and ETPs – 10/29/2017 at vixtrade.com >

Winning With Option Volatility

There s been a lot of talk about volatility in stocks lately But today I want to focus on options volatility and what it means for the options investor So let s start off with a definition Volatility measures the rate at which a security moves up and down If a security is moving up Winning With Option Volatility at vixtrade.com

Weekend Review of VIX Futures and Options – 10/22/2017

VIX was higher last week, despite the S&P 500 hitting a record high for five days in a row.  At low levels this sort of divergence between VIX and the S&P 500 isn’t usually much of a big deal.  But I wonder if there may be more significance since VIX under 10 has become a bit more of a norm.

 Weekend Review of VIX Futures and Options – 10/22/2017 at vixtrade.com

I love going through time and sale to see what sort of trading has been going on in VIX options and it’s a bonus when I find a trade structure that’s uncommon.  This leads me to this week’s trade which combined a synthetic long VIX position with a long VIX put.  On Thursday, there was a buyer of the VIX Oct 25th 12 Calls at 0.36 who sold the VIX Oct 25th 12 Puts at 1.52 which is a synthetic long position in VIX with a price of 10.84.  Since it’s VIX we can think of it as a synthetic long Oct 25th VIX Futures position (it appears the Oct 25th VIX futures were trading at 10.85 at the time).  To round out the trade they purchased the VIX Oct 25th 11.50 Puts for 1.09.  The results a payoff that looks like the diagram on expiration date.

 Weekend Review of VIX Futures and Options – 10/22/2017 at vixtrade.com

If the chart above looks familiar it is because it is a long call.   With three legs a trader basically replicated a long 11.50 Call at a cost of 0.43.   The market for those options was 0.45 x 0.50 at the time of the trade so they did a little bit better by executing the spread as opposed to buying the call options.

 Weekend Review of VIX Futures and Options – 10/22/2017 at vixtrade.com >

Weekend Review of Volatility Indexes and ETPs – 10/22/2017

The short term volatility indexes (VXST and VIX) were up a bit last week as the S&P 500 set multiple all-time closing record highs last week.  VIX3M (formerly VXV) and VXMT were both up slightly resulting the rare ‘term-structure twist’.  It’s really not that rare, I just had a nature documentary voice in my head as I typed that.

 Weekend Review of Volatility Indexes and ETPs – 10/22/2017 at vixtrade.com

The table below has few surprises (beyond VXST and VIX higher).  TYVIX heading to higher levels is a bit of a head scratcher until I notice the December FOMC meeting is sneaking up on us.  It’s difficult to think the December meeting is around the corner when it’s 75 degrees in Chicago as I type this.  Finally, worth noting is SKEW rallying to near all-time highs as the S&P 500 did the same.

 Weekend Review of Volatility Indexes and ETPs – 10/22/2017 at vixtrade.com

Across the volatility universe most indexes were lower.  IBM and Goldman Sachs volatility on the bottom of the table is a great reminder than not all volatility markets are the same.  Looking at the top end of the chart the words, ‘mixed bag’ popped into my mind.

 Weekend Review of Volatility Indexes and ETPs – 10/22/2017 at vixtrade.com

As mentioned already, we experienced a short-lived volatility spike Thursday morning, this sent me looking for traders using options on volatility linked ETPs to take the other side of this move.  With VXX up around 35.60 a trader came in and sold the VXX Oct 20th 34.00 Calls at 1.68 and purchased the VXX Oct 20th 36.50 Calls for 0.31 and a net credit of 1.37.  The payout at expiration (Friday’s close) shows up below.

 Weekend Review of Volatility Indexes and ETPs – 10/22/2017 at vixtrade.com

This turned out to be a well-timed fade of the volatility move that lasted about 45 minutes.  VXX finished the week at 33.79, 0.21 under the short call strike of 34.00 which places it a perfect place for this bear call spread as both options expired with no value.

 Weekend Review of Volatility Indexes and ETPs – 10/22/2017 at vixtrade.com >