Learn the trade here. Make it on tradeMONSTER

Options Trading News

December 25, 2012  Tue 4:41 AM CT

VIX: SEE CHART GET CHAIN FIND STRATEGIES
Volatility may not be rocketing higher, but the market in volatility products certainly is.

This can be clearly seen in the VIX futures volume. On Friday 159,000 futures traded, following 120,000 on Thursday, 132,000 on Wednesday, 143,000 on Monday, and 167,025 on Tuesday, which I believe is a new one-day record. This means that this will likely be the biggest ever week in VIX futures volume.

This may not sound all that impressive, but VIX futures are 10 times the size of the VIX options, and because they trade on the CFE only they can be quite difficult to get access to. That same exchange is where the CBOE rolled out their new S&P 500 Variance futures.

Unlike the VIX futures, which are based on implied volatility levels, the variance futures are based on the realized volatility of the S&P 500. Variance swaps were the predecessors of the VIX futures for institutional traders, but the CFE has now bought them onto an exchange and off the over-the-counter market.

The volume is still pretty light in the variance futures. Wednesday had 884 futures traded and  open interest of more than 5,500. But these futures are very new may still gain some traction, unlike some of the other volatility-based futures that the CFE has.

Finally, one of the exchange-traded notes based on those VIX futures, Credit Suisse's VelocityShares 2x VIX Short-Term ETN, has new life. The TVIX finished last week at $10.16, but only after it finally got a 10-1 reverse split. Before the split it had traded from above $100 last October to a low of $0.77 last week, as structural issues and generally lower volatility have taken a significant toll.

The fund also ran into a number of problems when Credit Suisse stopped issuing new shares for a time, leading to speculation that the firm would let the fund evaporate.
Share this article with your friends


Related Stories

VIX

Videocast: Cheap VIX protection

September 2, 2014

As the volatility index continues to stay in the low teens, Group One's Jamie Tyrrell explains how traders are buying protection through the VIX in three ways.

VIX

VIX slips as stocks hit new highs

September 2, 2014

Equity indexes climbed to new highs on Friday to close out another week of gains as the CBOE Volatility Index slipped back below the 12 level.

VIX

Why volatility index isn't 'broken'

September 1, 2014

For months there has been lots of talk about complacency and the "broken" CBOE Volatility Index, but both discussions are misguided.

VIX

Videocast: VIX pits quiet down

August 29, 2014

Despite persistent geopolitical issues, Group One's Jamie Tyrrell says volatility trading is slow ahead of the three-way weekend.

VIX

VIX above 12 as equities rebound

August 29, 2014

Equity indexes finished yesterday lower but regained much of the ground lost early in the session. The CBOE Volatility Index rose back above the 12 level but was well off its high of the day.

TRADING WEEKLY OPTIONS

The fastest money in the market
View full report »

Premium Services

Education & Strategy

How to get the hedge you want

Hedging is a good idea. As I have said countless times, you insure your house and your car, but most...

View more education articles »
optionMONSTER stockMONSTER tradeMONSTER