Tag Archives: VIX

Why the S&P 500® VIX® Short-Term Futures Index Rose More than VIX in March

Markets are down over 20%, COVID-19 is a global pandemic, negative global growth is looming—all of that just in the first 20 days of March! During same time period, VIX rose 65%, while the S&P 500 VIX Short-Term Futures Index jumped 175%. With a long-term beta of 0.7 to spot, a question might be—why did Read more […]

U.S. Corporate Debt Market under Pressure

Since mid-February, the market has turned sharply down in response to the coronavirus pandemic. The S&P 500® has fallen about 32% from its peak this year. Equity volatility shot up, as VIX® went from historical lows to the 70-80 range, which was last seen in November 2008. The 10-year U.S. Treasury Bond yield reached 0.32% Read more […]

Equity Liquidity at a Reasonable Price

The fall in equity market values since February’s peak has been sudden and dramatic.  During this period, the equity markets have functioned well at their primary task of facilitating price discovery at a time when values were changing rapidly.  Equity investors who wanted to trade have been able to trade.  (Whether they were wise to Read more […]

The Best Offense Is Defense – Why VEQTOR Outperformed Last Week

Six minutes after trading began on the New York Stock Exchange on March 9, 2020, the S&P 500® plummeted 7% and market-wide circuit breakers kicked in for the first time since the stock market crash of Oct. 27, 1997. However, the indices fell again later in the week and triggered another circuit breaker on Thursday, Read more […]

The VIX Futures Curve Is in Backwardation

Backwardation is incredibly uncommon in the VIX® futures curve. While the reason behind this term structure is not perfectly understood, the conclusion is clear: long and hold does not work for VIX futures, as the roll cost burns. There are different ways to measure VIX futures backwardation: by using the relationship between the VIX level Read more […]

Bye Bye Bull Market: Reaction to Coronavirus

The last few weeks have definitely felt like a “where were you when…?” moment as coronavirus fears spread around the world and many people’s day-to-day lives have been disrupted.  Amid the anxiety and disruption, global financial markets nosedived, sending all major equity indices tumbling, VIX® soaring to levels not seen since the financial crisis, and Read more […]

Fixed Income in Stressful Times

For those wondering what role fixed income would have in their portfolio at record-low yields, they had to wait just one week. On Friday, Feb. 21, 2020, we hit a record-low yield for the 30-year Treasury, as the S&P U.S. Treasury Bond Current 30-Year Index yield fell to 1.92%. The next week, the Dow Jones Read more […]

U.S. Equities: Staying the Course

The last few days have been turbulent for financial markets as coronavirus contagion fears took hold.  Global equities fell; the S&P 500®’s 6.6% price return plunge since the end of last week wiped off its year-to-date gains; recent U.S. sector and industry declines mean that nearly all S&P Composite 1500® industries are down month-to-date; and Read more […]

Volatility and Performance of Options-Related Indexes in the 2010s

As we enter the 2020s with interest in worldwide geopolitical volatility, here are some key points about volatility and the performance of options-related indexes the 2010s. How Did Equity Volatility in the 2010s Compare to Volatility in Previous Decades? The average of the daily closing values of the VIX® Index in the 2010s was 16.9 Read more […]

Mapping the S&P 500 Trading Ecosystem

A new paper published today provides a new perspective on the active usage of products linked to S&P DJI indices, and illustrates the network of liquidity that has developed around the S&P 500® and other popular benchmarks. “Active” and “passive” are colloquial terms, and it can be hard to distinguish one from the other at Read more […]