20 Volatility Indexes Rise This Morning

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.

8-Aug-2011 50.0%

4-Aug-2011 35.4%

18-Aug-2011 35.1%

9-Nov-2011 31.6%

10-Aug-2011 22.6%

31-Oct-2011 22.1%

17-Oct-2011 18.2%

21-Jun-2012 16.5%

1-Nov-2011 16.1%

6-Mar-2012 15.6%

9-Aug-2011 -27.0%

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