OptionsHouse

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

Video: Muted activity in VIX calls

May 5, 2015

Even with the May futures rising above 15, Group One's Jamie Tyrrell says there has been surprisingly little interest in buying VIX calls.

VIX

Video: Traders target VIX 14 level

May 4, 2015

The volatility index is positive despite gains in the S&P 500, bucking their usual inverse relationship, and Group One's Jamie Tyrrell says traders continue to target the VIX 14 level.

VIX

Videocast: May VIX call buys return

May 1, 2015

With VIX futures falling as the market rebounds today, Group One's Jamie Tyrrell says 38,000 VIX May 18 calls were purchased today.

VIX

Videocast: VIX traders turn to June

April 30, 2015

Group One's Jamie Tyrrell says volatility traders are targeting June VIX contracts today as the recent heavy May call buying has apparently subsided.

VIX

Videocast: VIX 20 level targeted

April 29, 2015

Group One's Jamie Tyrrell says a big VIX call buyer is back with the market down today, this time targeting 75,000 May 20 contracts.

Invest Like a Monster - San Diego: June 26-27

TRADING WEEKLY OPTIONS

The fastest money in the market
View full report »

Premium Services

Education & Strategy

Basics of synthetic positions

Before we get into the 6 basic synthetic positions, there are some basic principles that are necessary to review and make it easier to understand Synthetic Positions. By clearly understanding these concepts, Synthetic Positions become rather easy...

View more education articles »