This Week in VXST – 7/18/2014

On Thursday VXST ran up from 10.26 to 16.23. I’ll catch some flak for this next sentence, but I’m pretty much resigned to always getting flak as long as I talk publicly about volatility markets. That means the CBOE Short-Term Volatility Index was up just over 58% which was the fourth biggest move (on a percentage basis) based on the history for VXST that CBOE has compiled going back to January 2011. I know there’s an argument to not discuss volatility index changes in the context of percentages, but I think of them as index points and if we talk about the S&P 500 changes in percentage we should do the same for volatility indexes. VXST PA The curve had quite a move over the 48 hour period covering Thursday and Friday of last week. I included the closing prices on Thursday since I think it sheds a bit more light on exactly what sort of short term move up (and down) we got in VXST and VXST futures last week. VXST   Finally, VXST option trading continues to see increasing volume. Friday about 5,000 VXST options changed hands with big volume in the VXST Jul 23rd 18, 20, and 22 Calls.

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Russell Rhoads, CFA

CBOE Options Institute

Russell Rhoads, CFA, is a Senior Instructor with the Options Institute at the Chicago Board Options Exchange. He joined the Institute in 2008 after a career as an investment analyst and trader with a variety of firms including Highland Capital Management, Caldwell & Orkin Investment Counsel, TradeLink Securities and…