Bill Luby

Bill Luby

Bill is a private investor, whose research and trading interests focus on volatility, market sentiment, technical analysis, options and exchange-traded products. His work has been has been quoted in the Wall Street Journal, Financial Times, Barron’s and other publications. A frequent contributor to Barron’s, Bill also co-founded Expiring Monthly: The Options Traders Journal and authors the VIX and More blog as well as a weekly investment newsletter from just north of San Francisco. Bill has a BA from Stanford University and an MBA from Carnegie-Mellon University. When not trading or blogging, he can often be found running, hiking and kayaking in Northern California.

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Performance of VIX ETPs in 2013

A number of readers have asked me to recap the performance of the VIX ETPs in 2013 according to the leverage/maturity grid I have been publishing for several years. The graphic below should look familiar to long-term readers and measures the performance of all VIX and volatility ETPs for 2013, including dividends. (Two exceptions are [...]

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Was the VIX Too Low in 2013? No…

There was a time when investors would generally fret about the VIX being “too high” and the resulting possibility that there was some sort of unseen threat to the financial markets that was not showing up on their radar. In the last few years, the situation has reversed and now I find investors expressing more [...]

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The Evolution of the Holiday Effect in VIX Futures

With fewer trading days and a historical record that favors an uptick in stocks and a downtick in volatility, the end of the year never fails to present an intriguing set of trading opportunities. One phenomenon related to the above is something I have labeled the “holiday effect,” which is the tendency of the CBOE [...]

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Halloween Monsters

In the spirit of the day and lacking the resources and imagination to do something as elaborate as the Guillermo del Toro couch intro for the 2013 Treehouse of Horrors episode of The Simpsons (definitely worth a click through) I have elected instead to construct a portfolio of what I am calling the Halloween Monsters [...]

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The New VXST and the VXST:VIX Ratio

At the beginning of the month several interesting announcements came out of the CBOE Risk Management Conference in Portugal. One which particularly caught my interest was the announcement of the launch of the new CBOE Short-Term Volatility Index (VXST), which is essentially identical to the VIX, except that whereas the VIX is looking ahead at [...]

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Revisiting the VIX:VXV Ratio

Two of my favorite bloggers, who hail from very different corners of the investment landscape, both happened to mention me in reference to the VIX:VXV ratio in the past few days. On Wednesday, in A Buy Signal from the Option Market, Cam Hui of Humble Student of the Markets, noted that the VIX:VXV ratio had [...]

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Watching Two Key Emerging Markets Currencies

With Syria and the Fed grabbing most of the headlines in the last few days, I wonder how many people have emerging markets currencies at the top of their list of concerns. I am guessing few are poring over the likes of India (EPI), Indonesia (EIDO), Brazil (EWZ), Turkey (TUR), South Africa (EZA), Thailand (THD) [...]

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Charting the Recent Decline of the BRIC Components

U.S. stocks are mostly green in today’s session, though there is a good deal of red in global stocks, notably in emerging markets, where the popular EEM emerging markets ETF is down close to 1% as I type this and the Brazil (EWZ) is down more than 2%. In the chart below, I plot the [...]

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VXTYN Measures Volatility in U.S. Treasuries and Potential Spillover Effect

Recently I have been highlighting some non-traditional measures of volatility and risk in the financial markets, including VXEEM (CBOE Emerging Markets ETF Volatility Index); DXJ (WisdomTree Japan Hedged Equity Fund); and DBV (PowerShares DB G10 Currency Harvest Fund). Part of my intent in focusing some attention on these largely under-the-radar indices and ETPs is to [...]

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VIX and SPX During the 1994 Interest Rate Hike Cycle

With yesterday’s The VIX and the Pre-FOMC + Post-FOMC Trades post in the books, it occurred to me that my reference to the series of interest rate hikes in 1994 probably stretches back before the memory banks of the current generation of investors. So with all the anxiety about Fed tapering and ultimately ending quantitative [...]

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ETPs Turn to Selling Options to Generate Income

Not long after I penned The Options and Volatility ETPs Landscape, Credit Suisse (CS) added another buy-write / covered call ETP to the mix: the Credit Suisse Silver Shares Covered Call ETN (SLVO). With SLVO, Credit Suisse is essentially extending the methodology they pioneered with the Credit Suisse Gold Shares Covered Call ETN (GLDI). In [...]

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Four Years of SPX Pullbacks in One Plot

Each time stocks correct, I invariably receive requests from readers to update my SPX pullback summary data, as I did most recently on February 26th in Updated SPX Pullback Summary Table for SPX 1485, after the S&P 500 Index had pulled back 3.0% from a recent high. Rather than simply add another row to that [...]

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The Low Volatility Story in Pictures

Lately I have not been able to help being bombarded by articles extolling the virtues of investing in low volatility (also known as minimum volatility) exchange-traded products. These ETPs typically talk about the tendency of investors to become overly enamored with some of the sexier, more volatile stocks and accordingly bid these up to unsustainable [...]

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How Can the VIX Be 14 and Lower than VIN and VIF?

(Bill Luby, VIX and More –VIXandMore.blogspot.com) Many novice and advanced VIX followers are scratching their heads today, wondering why the VIX is down more than 5%, hovering around the 14.00 level, when the SPX is down 0.4% and all the major market averages are deeply in the red.  More serious students of the VIX will [...]

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Volatility and Revolutions

Events in North Africa and the Middle East have me thinking a lot about volatility these days. By volatility I am referring not just to the CBOE S&P 500 Volatility Index (VIX), but also to measures of volatility across other asset classes as well. I was not around to measure volatility during the Civil War [...]