Big Last Week for VIX re: Backwardation, Big Moves & Volume, ETH, Put/Call Ratio, and Bollinger Bands

After the news broke last Sunday (June 28) regarding the closing of banks in Greece, worldwide markets for stocks and oil plunged, and investors sought assets that could rise and serve as diversifiers. The VIX® July futures prices responded by rising from 14.525 on June 26 to 17.375 on the next trading day (June 29).

Below are seven key points about VIX action during this past big week – these points could be of interest to technical analysts who are looking for trading signals, and to portfolio managers who wish to diversify in times of market stress around-the-clock.

  1. BACKWARDATION — For the first time since January, VIX was in backwardation for 3 straight days (see Figure 1 below);
  2. VIX OPTIONS DAILY VOLUME – rose to 946,467 on June 30 (see Figure 2 below);
  3. VIX FUTURES DAILY VOLUME – rose to 417,574 on June 29 (the highest daily total in 2015; see Figure 3);
  4. VIX INDEX ROSE 34.5% ON JUNE 29 — (biggest daily % rise in 2 years) (see Figure 4);
  5. VIX 20-DAY ROLLING PUT/CALL RATIO – fell to 0.31 on June 30, its lowest level since 2008 (see Figure 5);
  6. BOLLINGER BANDS FOR VIX INDEX – dropped below the lower band on June 23 and 24 (first time below lower band in 2015 (see Figure 6));
  7. RECORD VOLUME DURING ETH SESSION – VIX futures volume in the 5 pm (Sunday)-to-2 am CT session was a record 32,617 (estimated) contracts, an all-time record for that 5 pm-to-2 am CT time period. For more on Extended Trading Hours (ETH) for VIX futures and for VIX and SPX options, please visit www.cboe.com/ETH.mm1mm2mm3 Source: Bloomberg.

For investors who wish to learn more about the CBOE Volatility Index® (VIX®) and related portfolio management and diversification tools, they can –

– Visit www.cboe.com/VIX

– Register to attend an upcoming CBOE Risk Management Conference (RMC) to hear expert presentations on managing volatility –

  1. RMC Europe:  MondayWednesday, September 28-30, 2015 at the InterContinental Hotel, Geneva
  2. RMC Asia: MondayTuesday, November 30-December 1, 2015, at the JW Marriott Hotel, Hong Kong
  3. RMC US: MondayWednesday, February 29 through March 2, 2016 at the Hyatt Regency Coconut Point, FL

http://www.cboermc.com