All Entries Tagged With: "VIX"
Wall Street 2011 in Review – A Year of “Sturm und Drang”
There is an old saying on Wall Street that “bull markets climb a wall of worry.” It means that the higher the market goes, the more fearful investors become that the market will drop and their gains will be lost. It’s the age-old dilemma of an investor with a profit: “Do I take my profit [...]
Trading Relative Performance: New NASDAQ OMX Alpha Index Options
It’s been more than two years since the market crash of 2008, and traders and investors are looking for opportunities to take part in potential profits in specific stocks, while at the same time trying to avoid the risk of a massive market decline. Developing new hedging strategies is about to get easier thanks to [...]
Customized Volatility: A VIX For Everyone
If you think the world is VIX-y now, just wait, it’s about to get VIX-ier. This, from the CBOE. The Chicago Board Options Exchange (CBOE) today announced that it has filed for Securities and Exchange Commission (SEC) approval to list options based on recently-created volatility indexes that track individual stocks —Apple (AAPL), Amazon (AMZN), Goldman Sachs (GS), [...]
The VIX: Calculating Expected Daily Price Changes
Adam Warner’s first post on ZeccoPulse frames the VIX in an interesting way, pointing out that the VIX doesn’t “trade” like a stock because it’s really only a statistic. Speaking of statistics, you’ll often hear people who comment on the VIX discuss how the VIX “implies” that the market could move a certain percentage on [...]
VIX/VXV Ratio: Volatility Expected, But When?
Should the implied volatility for S&P 500 options that expire in three months be higher or lower than for options that expire in one month? Usually you’ll find that traders predict less volatility in the shorter term than over the longer term – at least to the extent that implied volatility represents an expectation of [...]
Charting the VIX: Does Technical Analysis Work?
You can view a chart of the VIX just as you can for any stock. Just enter the symbol, add some moving averages, maybe even some Bollinger Bands and RSI indicators and you’re on your way. In fact, here’s a chart of the VIX going back about six months (as of February 23) with a [...]
Single-Stock VIX Levels Compared to VIX and VXN
Friday’s sharp price action saw the S&P 500 shed nearly 1.8% and the NASDAQ fall by almost 2.5% – wiping out much of January’s gains. As for implied volatility, it spiked to highs for the month – at least as measured by two popular indices. The VIX, which measures implied volatility for S&P 500 index [...]
What About a VIX For Financials?
If there are new single-stock VIX indices now, why couldn’t you also have a “sector VIX”? As I mentioned in a previous post, the CBOE is now using its VIX methodology to provide an index of the one-month implied volatility for five individual stocks (AAPL, AMZN, IBM, GOOG, and GS). Only one of those stocks [...]
Single Stock VIX Values: A Longer-Term View
In a previous post I took a look at the new single-stock VIX-type indices that the CBOE is now publishing on five individual stocks. In theory, these indices should measure the hypothetical one-month implied volatility for options on these stocks (AMZN, AAPL, GOOG, GS, and IBM) – just as the VIX does for options on [...]
Single Stock “VIX” Levels: Comparing Two Sets Of Data
Bill Luby noted that the Chicago Board Options Exchange (CBOE) will be publishing “VIX index values” for these five individual stocks. Amazon (AMZN) Apple (AAPL) Google (GOOG) Goldman Sachs (GS) IBM (IBM) According to the CBOE, these single-stock “VIX-like” indices will measure implied volatility for options on these stocks in a similar way that the [...]
