CBOE Bracketology – Biggest One-day Moves for VXST (up 81.7%) and GVZ (up 61.7%)

While many sports fans are bemoaning the fact that their NCAA basketball brackets have been demolished, options fans can always look to the CBOE for intriguing comparisons that can help hone their trading and investment strategies. Here is a newly constructed bracket that uses CBOE data.

 BIGGEST ONE-DAY MOVES

One of the top reasons that investors follow the volatility indexes and invest in volatility-related products is that the volatility indexes often have made very explosive short-term upside moves, particularly in times when stocks and other “traditional” assets are falling in value.  The first bracket below shows the biggest one-day % moves for eight volatility indexes; there now are CFE futures for all eight of these indexes, and CBOE now offers options on most of these indexes.   The CBOE Short-Term Volatility Index (VXST) had the biggest one-day move of any of the indexes, and options on the VXST are scheduled to be launched this week on April 10th.

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During the past three years, the biggest one-day moves (in % terms) for CBOE’s volatility indexes (that have available futures) were —

81.7%                    VXST – CBOE Short-Term Volatility Index
61.7%                    GVZ – CBOE Gold Volatility Index
50.0%                    VIX – CBOE Volatility Index
43.5%                    RVX – CBOE Russell 2000 Volatility Index
36.6%                    VXEWZ – CBOE Brazil ETF Volatility Index
35.5%                    VXEEM – CBOE Emerging Markets ETF Volatility Index
34.6%                    OVX – CBOE Crude Oil Volatility Index
33.5%                    VXN – CBOE NASDAQ Volatility Index

 

During the past three years, the biggest one-day moves (in % terms) for other volatility indexes (that do not have available futures) were —

76.1%                    VXSLV – CBOE Silver ETF Volatility Index
41.6%                    VXIBM -CBOE Equity VIX® on IBM
39.7%                    VXAPL – CBOE Equity VIX® on Apple
28.8%                    VXV – CBOE S&P 500 3-Month Volatility Index
28.3%                    VXTYN – CBOE/CBOT 10-year U.S. Treasury Note Volatility Index
22.4%                    EVZ – CBOE EuroCurrency Volatility Index

To learn more about 26 volatility indexes, and futures and options on select volatility indexes, please visit www.cboe.com/volatility