Category Archives: VIX

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CBOE Mid-Day Update 10.30.14

Volatility as an asset class MasterCard (MA) is recently up $5.62 to $81.60 on better than expected Q3 results and outlook. November call option implied volatility is at 23, December is at 18, January is at 17; compared to its 26-week average of 24. Weight Watchers (WTW) is recently down $4.51 to $24.91 on commentary [...]

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Post Election VXEWZ Analysis

On Monday the Brazilian equity market reacted somewhat as expected to the re-election of Dilma Rousseff to another term as president of Brazil. When I say as expected, Rousseff is not considered very business friendly and her election resulted in about a 4% drop in the iShares MSCI Brazil Index ETF (EWZ).   This 4% drop [...]

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CBOE Mid-Day Update 10.29.14

Volatility as an asset class Electronic Arts (EA) is recently up $1.50 to $38.93 after the company’s Q2 earnings per share and revenue topped analysts’ estimates. November and December call option implied volatility is at 33 and January is at 31; compared to its 26-week average of29. Gilead (GILD) is recently down $3.42 to $110.83 [...]

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CBOE Mid-Day Update 10.28.14

Volatility as an asset class The Medicines Company (MDCO) is recently up $2.94 to $25.13 after announcing the results of the pivotal Phase III clinical trial of the investigational hemostatic agent RAPLIXA, formerly known as Fibrocaps. November call option implied volatility is at 53, December is at 46, January is at 41; compared to its [...]

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The Weekly Options News Roundup – 10/25/2014

The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. That’s Billion With a “B” Amidst last week’s record trading volumes and extreme market volatility, an estimated $90 billion worth of CBOE Volatility Index (VIX) options and [...]

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Calculating the New VIX—the Easy Part

The movements of the CBOE’s VIX® are often confusing.  It usually moves the opposite direction of the S&P 500 but not always.  On Fridays the VIX tends to sag and on Mondays it often climbs because S&P 500 (SPX) option traders are adjusting prices to mitigate value distortions caused by the weekend. In addition to these market driven eccentricities the [...]

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CBOE Mid-Day Update 10.21.14

Volatility as an asset class Coca-Cola (KO) is recently down $2.53 to $40.76 following earnings that were in line with expectations, but guidance that disappointed. October weekly call option implied volatility is at 27, November is at 16, January is at 14; compared to its 26-week average of 17. Harley-Davidson (HOG) is recently up $3.59 [...]

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CBOE Mid-Day Update 10.20.14

Volatility as an asset class IBM (IBM) is recently down $12.25 to $169.80 after reporting a 4% decrease in quarterly revenue and no longer expects ‘at least’ $20 operating EPS in 2015. October weekly call option implied volatility is at 31, November is at 20, January is at 19; compared to its 26-week average of [...]

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Will The Bounce Have Legs? – Weekly Market Outlook

Although the market technically lost ground last week, between Wednesday’s and Thursday’s back-to-back intraday reversal bars and Friday’s strong bullish follow-through, stocks ended the week on such a positive note that it’s tough not to be at least a little bullish now.  And, given that all big trends start out as small ones, Friday’s bullish [...]

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CBOE Mid-Day Update 10.17.14

Volatility as an asset class Honeywell (HON) is recently up $3.39 to $89.77 on solid Q3 results and raising FY14 EPS guidance. November call option implied volatility is at 20, December and January is at 19, March is at 20; compared to its 26-week average of 18. Morgan Stanley (MS) is recently up 83c to [...]

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CBOE Mid-Day Update 10.16.14

Volatility as an asset class Chesapeake Energy (CHK) is recently up $2.80 to $20.61 after the energy company announced that it sold Marcellus and Utica shale assets to Southwestern Energy (SWN) for $5.375B. October weekly call option implied volatility is at 65, November is at 51, December is at 48; compared to its 26-week average [...]

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CBOE Mid-Day Update 10.15.14

Volatility as an asset class Airline stocks, on a roller coaster ride today, following reports the 2nd nurse infected with Ebola flew a few days ago (Oct 13). The CDC is reaching out to passengers who flew on Frontier Airlines flight 1143 Cleveland to Dallas/Fort Worth Oct. 13. United Continental (UAL) is recently down $2.62 [...]

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CBOE Mid-Day Update 10.14.14

Volatility as an asset class Wells Fargo (WFC) is recently down 55c to $49.65 after reporting in-line Q3 earnings. October call option implied volatility is at 27, November is at 19, January is at 20; compared to its 26-week average of 16. Domino’s Pizza (DPZ) is recently up $6.90 to $82.63 after the company reported [...]

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CBOE Mid-Day Update 10.13.14

Volatility as an asset class Tech stocks share prices have had wide price moment resulting in higher option implied volatility. Facebook (FB) is recently up $1.17 to $60.20. October call option implied volatility is at 40, November is at 47, December is at 40; compared to its 26-week average of 38. Amazon.com (AMZN) is recently [...]

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The Weekly Options News Roundup – 10/10/2014

The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. Trading Volatility: It’s Just The Beginning Volatility trading continues to gain traction among market participants.  In a post-Risk Management Conference interview, Paul Stephens, CBOE Vice President and [...]

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CBOE Mid-Day Update 10.10.14

Volatility as an asset class CBOE Volatility Index NASDAQ 100 (VXN) recently up 6.2% to 21; compared to its 10-day moving average of 18.68, 50-day moving average of 15.27.  NASDAQ 100 down 0.9%. CBOE DJIA Volatility Index (VXD) is recently down 0.4% to 15.64; compared to 10-day moving average of 14.31, 50-day moving average of [...]

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Weekly Market Commentary 10.10.14

The stock market has become extremely volatile, trading up and down hundreds of Dow Jones points in a day. But our indicators have remained steadfastly bearish throughout the last few weeks. For example, despite several big rally days, $SPX never broke the downtrend line that connects its series of lower highs. Until that downtrend is [...]

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CBOE Mid-Day Update 10.9.14

Volatility as an asset class Volatility has increased as stocks have hit session lows Russell 2000 (IWM) October call implied volatility is at 23. www.cboe.com/IWM S&P 100 (OEX) October call implied volatility is at 15.  www.cboe.com/OEX S&P 500 Index Options (SPX) October call implied volatility is at 12. www.cboe.com/SPX Russell 2000 Index Options (RUT) October [...]

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CBOE Mid-Day Update 10.8.14

Volatility as an asset class Sears Holdings (SHLD) is recently down $4.40 to $25.90 after Bloomberg says vendor to halt shipments. October weekly call option implied volatility is at 170, October is at 107, November is at 94,  December is at 84, March is at 76; compared to its 26-week average of 54. J.C. Penney [...]

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CBOE Mid-Day Update 10.7.14

Volatility as an asset class General Motors (GM) is recently down $1.59 to $32.16 after recalling 46,873 vehicles from 2008-2013. October weekly call option implied volatility is at 22, October is at 26, November is at 26, December is at 25; compared to its 26-week average of 27. Amazon.com (AMZN) is recently $1.59 to $320.61 [...]

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CBOE Mid-Day Update 10.6.14

Volatility as an asset class Intuitive Surgical (ISRG) is recently up $16.45 to $491.66 after Goldman Sachs upgraded the medical device company to Buy. October weekly call option implied volatility is at 39, October is at 33, November is at 36, January is at 31; compared to its 26-week average of 33. Chimerix (CMRX), up [...]

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Tomorrow’s Spot VIX Calculation Change

As all the VIXophiles out there know, beginning October 6, 2014 there is a small change to how the spot VIX index is going to be determined. Instead of the next two standard option expiration series with at least eight days remaining until expiration, the two SPX or SPX Weekly option series that expire closest [...]

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The Weekly Options News Roundup – 10/3/2014

The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX and volatility-related articles from print, broadcast and online and social media outlets. Up, Up, and Away! During the month of September, geopolitical events across the globe spurred an increase in market volatility.  Investors turned to options, boosting industry-wide volume [...]

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CBOE Mid-Day Update 10.1.14

Volatility as an asset class General Motors (GM) is recently up 84c to $32.78 after reaffirming near-term financial targets and reporting September U.S. sales up 19.4% to 223,437 vehicles. General Motors weekly volatility elevated into CEO unveiling financial strategy. October weekly call option implied volatility is at 38, October is at 26, November is at [...]

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Warning Alarm Or Healthy Pullback? – Weekly Market Outlook 9.29.14

The BigTrends TrendScore is a daily reading on the bullish/ bearish level of various market assets – it uses the S&P 500 Index (SPX) (SPY) as a proxy for the broad market.  The SPY Trend-Score fell out of the bullish range for the first time since early/mid August on last Thursday, but did close back into bullish territory on Friday. To some [...]

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CBOE Mid-Day Update 9.29.14

Volatility as an asset class Alibaba (BABA) is recently down $1.44 to $89.03. October 90, 95 and 100 calls are active at the CBOE on the first day of options trading. October call option implied volatility is at 38, November is at 39, December is at 38, January is at 37. GoPro (GPRO) is recently [...]

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CBOE Mid-Day Update 9.25.14

Volatility as an asset class CBOE Volatility Index NASDAQ 100 (VXN) recently up 16.8% to 17.81; compared to its 10-day moving average of 15.19, 50-day moving average of 14.28.  NASDAQ 100 down 1.8%. CBOE DJIA Volatility Index (VXD) is recently up 17.4% to 14.10; compared to 10-day moving average of 12.35, 50-day moving average of [...]

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CBOE Mid-Date 9.24.14

Volatility as an asset class Accenture (ACN) is recently down 66c to $78.93 on Q4 profit rising 4.5%. September weekly call option implied volatility is at 22, October weekly is at 16, November is at 13, January is at 15; compared to its 26-week average of 20. KB Homes (KBH) is recently down $1.10 to [...]

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CBOE Mid-Day Volatility 9.23.14

Volatility as an asset class Carmax (KMX) is recently down $4.97 to $47.84 after posting sluggish Q2 used unit sales in comparable stores. October call option implied volatility is at 24, January is at 23, April is at 24; compared to its 26-week average of 27. Salix (SLXP) is recently up $8.62 to $168.45 after [...]

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CBOE Mid-Day Update 9.22.14

Volatility as an asset class S&P 100 Options (OEX) recently is recently down 6.17 to 890.94 on weak U.S. existing home sales in August and China finance minister indicating the country will not increase stimulus measures. CBOE Volatility Index (VIX) up 14.8% to 13.90. Oct 20 and November 15 calls active on 129K cboe.com/VIX iPath S&P [...]