CVOL—the Other Volatility Kid on the Block

UPDATE CVOL was shutdown by UBS in May of 2016.  It never achieved enough assets for it to be a viable competitor     CVOL’s  stated goal is to “produce returns that are correlated to the CBOE Volatility Index (the “VIX Index”). ”   So far no one has figured out a way to offer a direct investment in the VIX Index, so volatility traders must …

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VXX Options—Similarities and Differences with VIX Options

VXX options offer ways to take either long or short volatility positions.  Unlike most securities VXX tends to go up when the market is down—which leads to some signficantly different options characteristics. Comparing VXX options to VIX options: Similarities: Both are ultimately based on the Cboe’s VIX futures Will show a strong reversion to baseline behavior when the market is behaving itself—the VIX index and …

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Fear vs Fear — 2009 / 2010 wins

When updating the chart below, where the price and normalized volume of SPY from 2003/2004 intertwines with the SPY of 2009/2010, I noticed one area of consistent difference between the two time spans—volatility.   Using the VIX index as a proxy for actual volatility, the ’09 / ’10 values have averaged about 40% higher than the ’03 / ’04 bull market.   On the slight …

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VIX Option and Futures Expiration Dates

Upcoming expiration dates for monthly VIX options and futures—they expire at market open on the same days can be found in this free spreadsheet.  The settlement price is not the same as the VIX open price. The settlement price is listed under the VRO ticker and reflects the result of a process (HOSS) managed by the CBOE.  The settlement process involves actual trade prices, not …

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How to go long on the VIX index

Unlike the S&P 500 or Dow Jones Industrial Index, there’s no way to directly invest in the CBOE’s VIX® index.  Some really smart people have tried to figure out a way, but there’s just no way to do it directly with something like a VIX index fund.  Instead, you have to invest in a security that attempts to track VIX.  None of them do a great …

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