While many stock indexes plunged this morning, twenty of CBOE’s volatility indexes rose significantly. Visit www.cboe.com/volatility to see a list of indexes with updated delayed quotes.
Here is a list of percentage changes for some indexes at about 11:20 a.m Chicago time on July 23rd.
14.3% VIX® – CBOE Volatility Index® www.cboe.com/VIX
14.3% VXN – CBOE NASDAQ Volatility Index www.cboe.com/VXN
5.4% OVX – CBOE Crude Oil ETF Volatility Index www.cboe.com/OVX
10.9% EVZ – CBOE EuroCurrency ETF Volatility Index www.cboe.com/EVZ
12.7% VXEEM – CBOE Emerging Markets ETF Volatility Index www.cboe.com/VXEEM
5.2% VXSLV – CBOE Silver ETF Volatility Index www.cboe.com/VXSLV
13.2% VXEWZ – CBOE Brazil ETF Volatility Index www.cboe.com/VXEWZ
6.7% VXAPL – CBOE Equity VIX® on Apple www.cboe.com/VXAPL
ONE-WEEK PRICE CHART FOR VIX SPOT
While the VIX Index dropped below 16 a few times last week, it jumped to above 20 this morning (July 23rd)
BIGGEST ONE–DAY VIX % MOVES OVER THE PAST YEAR
Below is a list of the 11 trading days over the past year (July 20, 2011 – July 20, 2012) on which the VIX Index had daily moves of more than 15% up or down. Interestingly, the VIX had 10 up-moves of more than 15%, but only one down-move of over 15%. Will VIX move more than 15% today, July 23? Delayed quotes for VIX spot and futures prices are at www.cboe.com/VIX.
COMPARING VIX SPOT AND VIX FUTURES
In a table at www.cboe.com/VIX at mid-day July 23rd with delayed quotes, the VIX spot index rose 2.67 to 18.94, while the VIX Aug. futures rose 1.65 to 20.80.
LINKS TO ADDITIONAL INFORMATION
Volatility indexes www.cboe.com/volatility
CBOE Volatility Index® (VIX®) (with put-call ratios, charts, bibliography, etc.) www.cboe.com/VIX
Papers on Income Enhancement and Tail Risk Management www.cboe.com/benchmarks
CBOE Risk Management Conference in Ireland – Sept. 5 – 7 2012 www.cboermc.com/Europe