Biggest-Ever One-Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran

Feb. 5, 2018 – Today was the second trading day in a row on which there was very strong volume on Cboe Global Markets’ options exchanges and futures exchange. Today there were record-breaking one-day percentage moves for both the Cboe Short-Term Volatility Index (VXST), which rose 214.6% to close at 59.34, and for the popular Cboe Volatility Index® (VIX®) which rose 20.01 points (or 115.6%) to close at 37.32.

1 Biggest VIX Moves thru Feb 5 with edited headings Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

PRICE CHARTS FOR 2018

The first price chart below shows that the levels for the Cboe Crude Oil Volatility Index (OVX) were higher than those for the VXST and VIX indexes in January, but today the the VXST and VIX rose much higher than the OVX Index – in general, implied volatility now is higher for the S&P 500 than it is for the USO Oil ETF.

2 3 vol indexes thru Feb 5 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

Today the S&P 500 Index fell 4.4% and the Cboe VIX of VIX Index (VVIX) rose 41.3%; the implied volatility for VIX options has risen (see also the volatility skew charts below).

3 SPX and VVIX Feb 5 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

VIX FUTURES PRICES AND OPEN INTEREST FOR 14 EXPIRATIONS IN THE NEXT NINE MONTHS

While the VIX Index closed at 37.32 today, many volatility traders say that the prices they focus on are the VIX futures prices. The table below shows prices (ranging from 19.35 to 35.3) and open interest for 14 expirations for VIX futures. The prices below can provide some clues as to where the financial markets think that the VIX wil be at in future months. Today the VIX Index is in backwardation (rather than contango).

4 VIX Futures Prices on Feb. 5 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

VIX AND SPX OPTIONS – HIGHER IMPLIED VOLATILITY

The next two charts show how the volatility skew (and Bloomberg’s estimates for 30-day implied volatility) changed from January 19 to February 5.

In the first chart below, Bloomberg’s estimates for 30-day implied volatility for VIX options on January 19 ranged from 68.9 to 115.5, and on February 5 the range was much higher – from 146.8 to 353.1.

5 VIX skew Feb 5 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

In the next chart, the estimates for implied volatility for at-the-money SPX options (at 100% moneyness) were 8.5 on January 19 and 30.9 on February 5. SPX implied volatility at 80% and 90% moneyness generally has been much higher than at 100% moneyness – this reflects the fact that there often is big demand for out-of-the-money SPX puts to be used for portfolio protection.

6 SPX skew Feb 5 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com

WHITE PAPERS ON PORTFOLIO RISK MANAGEMENT

To learn more about portfolio management tools that can be used to manage risk in portfolios, please click on the links to white papers below (many of which are available at www.cboe.com/benchmarks).

 

 

 

 

 Biggest Ever One Day Moves Today for Both VXST Index (Up 214.6%) and VIX Index (Up 115.6%) – By Matt Moran at vixtrade.com >

All-time Record Volume for VIX Options Today, as VIX Index Hits Its Highest Level Since August

FRIDAY, DEC. 1, 2017 – Today’s trading volume for options on the Cboe Volatility Index® (VIX®) was a reported 3.1 million contracts, the highest number for single-day volume in the VIX options since they commenced trading in 2006.

1 Top 10 VIX op volume days All time Record Volume for VIX Options Today, as VIX Index Hits Its Highest Level Since August at vixtrade.com

HIGHEST VALUE SINCE AUGUST

Today the VIX Index hit an intraday high of 14.58, its highest value since August. Key news events today concerned the tax legislation in the U.S. Congress, and the plea by Michael Flynn.

2 VIX Hi Low Close All time Record Volume for VIX Options Today, as VIX Index Hits Its Highest Level Since August at vixtrade.com

VIX OPTIONS AND FUTURES VOLUME IS UP IN 2017

Average daily volume for both VIX options and VIX futures has increased in 2017, as investors use these powerful tools in a variety of ways for portfolio management.

2 VIX options adv 2017  All time Record Volume for VIX Options Today, as VIX Index Hits Its Highest Level Since August at vixtrade.com

3 VIX futures adv thru 2017 11 All time Record Volume for VIX Options Today, as VIX Index Hits Its Highest Level Since August at vixtrade.com

MORE INFORMATION

To learn more about use of VIX options and VIX futures, please visit Cboe’s VIX webpages at www.cboe.com/VIX.

 All time Record Volume for VIX Options Today, as VIX Index Hits Its Highest Level Since August at vixtrade.com >

New Daily Volume Record of 2.61 Million for VIX Options, as Investors Engage in Hedging and in Short VIX Futures

On September 25th a new daily volume record of 2.61 million contracts was set for options on the CBOE Volatility Index® (VIX®), as the VIX Index rose 6.5% to close at 10.21 that day.

TOP TEN VOLUME DAYS FOR VIX OPTIONS

Four of the top ten days for VIX options volume occurred in 2017.

1 Top 10 VIX op volume New Daily Volume Record of 2.61 Million for VIX Options, as Investors Engage in Hedging and in Short VIX Futures at vixtrade.com

NEWS COVERAGE OF TRADING ACTIVITY IN VIX OPTIONS AND VIX FUTURES

Recent news coverage has highlighted investor use of both VIX options and VIX futures.

A September 25 news story in Reuters entitled “VIX options volume jumps as trader hedges against stock market sell-off” noted that –

“ …More than 2 million contracts changed hands in a spread trade, the largest ever in VIX options, according to Trade Alert data. A trader bought about 261,000 Oct. 12 puts and sold the same number of Oct. 15 calls and twice as many of the Oct. 25 calls. At the same time, the trader sold 261,000 Dec. 12 puts and twice as many Dec. 25 calls, to buy 261,000 Dec. 15 calls. … The net effect of the trade was to position the trader for a lift in the VIX to the 15-20 level by December. …”

A September 25 Moneybeat blog at wsj.com entitled “Back in Vogue: Betting on the VIX to Fall” noted that —

“ …Hedge funds and other speculative investors ramped up bearish bets on the CBOE Volatility Index, or VIX, to the most in over a month, according to data from the Commodity Futures Trading Commission. Net bearish bets on the VIX outnumbered bullish bets by the group by 96,601 contracts for the week ending Sept. 19. Those investors had 70% more short bets than long bets on the index for the week ending Sept. 19. … “

PRICE CHART – VVIX AND VIX INDEXES

For purposes of analyzing trading activity in VIX options, the CBOE VIX of VIX Index (ticker VVIX) can serve as a useful metric because it is a measure of the market’s expectations and is an indicator of the expected volatility of the 30-day forward price of the VIX.

Over the past decade, the average daily closing values were 87.7 for the VVIX Index and 20.4 for the VIX Index. However, more recently, (as shown in the chart below), from August 25 through September 25, the average daily closing values were 11.3 for the VIX Index and 96.8 for the VVIX Index.

2 VVIX VIX Sep 25 New Daily Volume Record of 2.61 Million for VIX Options, as Investors Engage in Hedging and in Short VIX Futures at vixtrade.com

 MORE INFORMATION

To access price charts and price history for the VIX and VVIX indexes, and to learn more about use of VIX futures and options for your portfolio, please visit www.cboe.com/VIX and www.cboe.com/volatility.

 New Daily Volume Record of 2.61 Million for VIX Options, as Investors Engage in Hedging and in Short VIX Futures at vixtrade.com >