The Market Is As Nervous As Ever About Austerity...
In a recent note, Goldman Sachs economist Alec Phillips wonders whether the market is becoming less sensitive to political brinksmanship:The chart shows the level of VIX in the run-up to the 2011 debt ceiling and 2012 fiscal cliff deadlines. Phillips’s question implies that since VIX was
VXV Is Way Ahead Of You | Condor Options
Here’s a chart I sent out to clients last night as part of our weekly update. It tracks the ratio of three-month SPX implied volatility as measured by VXV to the trailing 3m historical volatility.What the chart shows is that three-month options are priced at more than 1.4 times the value of
VIX And More: XIV And ZIV Are Huge Success Stories Two Years...
It was two years ago today that VelocityShares launched their six VIX-based exchange-traded products and I’m fairly certain I was the only one who was covering that event on the day of the launch: Impressive Launch for Sextet of New Volatility ETNs from VelocityShares.Two years later, one of
Where Are We In The Volatility Cycle? | Condor Options
Just like the broader economy, market volatility moves in cycles. To know how seriously you should take risk scenarios and profit opportunities today, it helps to know where we are in the multi-year volatility cycle. Let’s think about the medium-term conditions for the stabilization of
S&P 500 Implied Correlation Drops To Post-crisis...
Not that long ago, we noted that S&P 500 implied correlation was marching to new all-time highs, suggesting that investors were better served to focus on major economic risks rather than looking just at the details of individual stocks.About one year later, we can write instead that S&P 500 implied
Commentary :: Hedge Your Bets, The Risk-On Play Is Overbought...
The past week brought on a liquidity-infused rally, started by dovish remarks by the Federal Reserve and amplified by the European Central Bank (ECB) committing to the stability of the Euro zone through bond purchases. BIG MOVES This has led to a multi-year breakout in equity indexes, coupled with
BLOG.ECONBROTHERS.COM: Correlation And Volatility:...
Beginning on August 7, we made the point that we had seen market topping patterns follow theVIX at what we described as the VIX’s “functional” floor the past 7 of 7 occurrences. TheICJ index may provide confirmation that a local (and perhaps a more significant) top is at hand.
Preparing For The Fiscal Cliff Debate | Condor Options
The approaching U.S. fiscal cliff has been on the radar of every strategist and portfolio manager since the compromise was reached in 2011. If policymakers are not able to amend the current mix of changes, mandated spending and benefit cuts and the expiration of several tax cuts will create a
The Story Of An Arrogant VIX Trade | Option Pit
When I think about times where I have seen new option traders lose a lot of money, there are a few that come specifically to mind. Early in the process, we work very hard to teach our option mentoring students proper risk management. Some of it is simple; it doesn’t take long to show
VIX And VXV Show SPX Term Structure At Historic Highs - Six...
In addition to the well-known VIX index, the CBOE also publishes the VXV index. It’s computed just like VIX, except that it gauges the implied volatility of SPX options 3 months out, rather than just one month. The chart below shows the 10 year history of these two indexes.Recently I
Understanding VIX Futures And Options
Since the Chicago Board Options Exchange (CBOE) introduced futures and, subsequently, options on its Volatility Index, or VIX, traders have asked why the contracts don’t necessarily track the underlying in the same way other equity futures track their indexes. Others may wonder why the
VIX Futures Volume Is Up 67% This Year | VIX® Views
Average daily volume for futures on the CBOE Volatility Index® (VIX®) rose in the first half of this year to 79,586 (67% higher than the average daily volume in the year 2011). www.cboe.com/VIXTrading volume in CBOE Crude Oil ETF Volatility Index (OVX) security futures totaled 3,290 contracts
How To Perform Technical Analysis On The VIX | Condor...
By “technical analysis” I mean the practice of drawing inferences about likely future prices based on the visual patterns displayed on a chart. We can exclude rules-based, objective strategies here: those are beyond reproach because they can easily be verified. For example, “buy
VIX And More: The Evolution Of European Equity Risk
There are many ways in which investors can evaluate risk related to the euro zone. Credit default swaps for sovereign debt are one way to evaluate the risk of country default. Sovereign bond yields are a good proxy for a country’s access to funding via the credit markets. The euro crosses and
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