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Beyond SPLV: The Expanding Universe of Low Volatility ETPs

February 27th, 2013
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The spike in volatility that hit a climax on Monday has apparently passed with the swiftness of a summer thunderstorm. Of course, as I explained more than six years ago in What My Dog Can Tell Us About Volatility, things are never really quite the same after the storm passes, which is why we often encounter a phenomenon I call echo volatility.

Record VIX Options Volume and Large Purchases of VIX Calls

February 27th, 2013
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With about a half hour left in today’s trading session, purchases of VIX options are unusually high – much higher than yesterday. As I type this, over 855,000 VIX calls have been traded, with today likely to see the highest VIX call volume since the August 2011 market panic.

Updated SPX Pullback Summary Table for SPX 1485

February 26th, 2013
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One of the graphics that I receive many request for and is my SPX pullback summary table. This table starts with the bottom in the SPX in March 2009 and tracks all meaningful peak-to-trough pullbacks from various new highs in the SPX.

Best VIX Conference of the Year? Try the CBOE RMC

February 26th, 2013
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Since everyone wants to talk about the VIX right now and I often get asked what the best conference is for the VIX and volatility aficionado, I should note that my favorite VIX conference, the 29th Annual CBOE Risk Management Conference (RMC), begins this Sunday and runs through Tuesday. The conference is being held in Carlsbad, California (about 30 miles north of the San Diego airport) at the Park Hyatt Aviara Resort.

All-Time VIX Spike #11 (and a treasure trove of VIX spike data)

February 26th, 2013
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Today was one of those days that caught a lot of people off guard. Halfway through today’s trading session stocks we largely unchanged, then some pockets selling began when results of the elections in Italy started trickling in, suggesting the possibility of a deadlock in the Italian parliament and perhaps the need for another round of elections.

VXX and VXZ Celebrate Fourth Birthday

January 31st, 2013
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What better way to celebrate your birthday than by ripping off a huge gain. That’s what VXX must have been thinking today as it gained 6.2%, while it’s often overlooked sibling, VXZ, gained 2.2%.

VXX and VXZ Celebrate Fourth Birthday

January 31st, 2013
in
What better way to celebrate your birthday than by ripping off a huge gain. That’s what VXX must have been thinking today as it gained 6.2%, while it’s often overlooked sibling, VXZ, gained 2.2%.

New Updates for Newsletter and EVALS

January 22nd, 2013
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This is a quick update to let readers know that I have recently posted detailed updates for the VIX and More Subscriber Newsletter as well as for VIX and More – EVALS, which is essentially a model portfolio based on VIX exchange-traded products that complements the newsletter.

New Updates for Newsletter and EVALS

January 22nd, 2013
in
This is a quick update to let readers know that I have recently posted detailed updates for the VIX and More Subscriber Newsletter as well as for VIX and More – EVALS, which is essentially a model portfolio based on VIX exchange-traded products that complements the newsletter.

The Inverted Percentile VIX

January 22nd, 2013
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Of the many reasons that investors have a tendency to struggle with an interpretation of the VIX, one of the most obvious is an issue of orientation: for the most part, the VIX moves in the opposite direction of stocks. Frankly, it is difficult to appreciate some of the nuances of an upside-down world unless you spend a lot of time hanging upside down looking out at the world, like a bat.

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