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VIX and More Fear Poll

October 22nd, 2012
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For a long time I have thought about the usefulness of a poll in which investors identify which geopolitical, macroeconomic, technical, etc. issues make them the most fearful, anxious or uncertain about the future of the stock market. Today marks the first of a new weekly "VIX and More Fear Poll" in which I intend to collect this data, share the findings and discuss some of the trends over time, including how the ebbs and flows of various issues may coincide with the ebbs and flows of the VIX.

The 2012 VIX Futures Term Structure as an Outlier

October 22nd, 2012
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Investors who have been trading the VIX futures, VIX options and VIX exchange-traded products in 2012 have no doubt observed that there has been a wide gulf between the volatility predicted by the VIX front month futures and the back month futures. How wide?

Ratio of VIX to Realized Volatility Higher Than Any Year Since 1996

October 17th, 2012
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Before I dive into a series of posts about the VIX futures, I think it is important to add some context in the form of several observations about the relationship between the VIX and the historical volatility (HV) of the S&P 500 index. In the absence of any information about the future, it turns out that historical volatility (a.k.a.

Violent Disagreement Across VIX Futures

October 15th, 2012
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Something strange has happened to the VIX futures in 2012: for the first time in their history, the VIX futures persist in being in violent disagreement with each other. Prior to 2012, for instance, the average difference between the front month and seventh month VIX futures was about 16%. This year that number has surged to more than 38%.

EVALS and the Stock of the Week Continue to Post Impressive Numbers

October 15th, 2012
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Lately I have been fielding quite a few questions about the VIX and More Subscriber Newsletter, and particularly about VIX and More EVALS, which is a model portfolio dedicated to trading VIX and volatility-centric exchange-traded products.

Updating the Legacy of Post-2009 Corrections

September 17th, 2012
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Of all the periodic themes that I update in this space, the one that always surprises me by how strong of a reception it generates is a table that I call the VIX and More 2009-12 SPX Peak to Trough Pullback Summary – of which a current version is appended below.

Updates to VIX ETP Landscape: Add VIXH; Drop 12 UBS Products

September 10th, 2012
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Two thirds of 2012 passed before we saw the first new VIX-based exchange-traded product and it turned out to be an interesting one: the First Trust CBOE S&P 500 Tail Hedge Fund ETF (VIXH), which was introduced at the end of August.

What If Stocks Decline?

August 17th, 2012
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Successful investors are the ones that are always making plans for all sorts of contingencies, so it stands to reason that they should even prepare themselves for the possibility of stocks actually declining one of these days...

A VIX Risk Reversal

August 16th, 2012
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With the VIX at about 14.50 as I type this and a large group of investors convinced that stocks are overbought and/or not properly discounting global macro risk, many are wondering just how to translate their beliefs into an effective trading strategy.

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

August 13th, 2012
in
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 also note that this drop in the VIX comes on a Monday, when the typical VIX “calendar reversion” is generally responsible for about a 1% pop in the volatility index.

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