Investors who explore volatility and diversification strategies often are looking for instruments that provide a lot of “bang-for-the-buck,” and they may ask – if most items in my portfolio are falling, are there any products with negative correlations that can experience sharp jumps in uncertain times?
The charts below show nine volatility indexes and their biggest one-day up moves (in %) since April 2011. CBOE Futures Exchange (CFE) offers futures on all of the indexes, (except that futures on the VXTYN Index have not yet been officially announced or launched), and CBOE offers options on most of the indexes below.
The CBOE Short-Term Volatility Index (VXST) rose 81.8% on Apr. 15, 2013, the CBOE Gold ETF Volatility Index (GVZ) rose 61.7% on April 15, 2013, and the VXEZW, VXEEM, VIX, and RVX indexes all rose by more than 35% on August 8, 2011 (after the downgrading of US Treasury debt).
Biggest Past One-Day Moves – VXST Up 81.8%; GVZ Up 61.7%
Please note that the futures on volatility indexes often do not move as sharply as the spot volatility indexes. To learn more about futures and options on volatility indexes, please visit www.cboe.com/volatility.