The short
term volatility indexes (VXST and VIX) were up a bit last week as the S&P 500 set multiple all - time closing record highs last week.
This past month was one of the most volatile months of the past three years, as the CBOE Short -
Term Volatility Index (VXST) rose 48.2 % on October 9, and the CBOE Brazil ETF Volatility Index (VXEWZ) hit its all - time daily closing high of 72.83 on October 20 (before the re-election of Dilma Rousseff as President of -LSB-...]
Today there were record - breaking one - day percentage moves for both the Cboe Short -
Term Volatility Index (VXST), which rose 214.6 % to close at 59.34, and for the popular Cboe Volatility Index ® (VIX ®) which rose 20.01 points (or 115.6 %) to close at 37.32.
Today there were record - breaking one - day percentage moves for both the Cboe Short -
Term Volatility Index (VXST), which rose 214.6 % to close at 59.34, and for the popular -LSB-...]
Not exact matches
This resulted in a much more interesting
index, one that competes well with other favorites in
terms of
volatility and correlation to broad market movement.
Formally called the Cboe
Volatility Index, the VIX measures market expectations of near - term volatility conveyed by S&P 500 stock index opti
Volatility Index, the VIX measures market expectations of near - term volatility conveyed by S&P 500 stock index option pr
Index, the VIX measures market expectations of near -
term volatility conveyed by S&P 500 stock index opti
volatility conveyed by S&P 500 stock
index option pr
index option prices.
The S&P 500
Index should still produce healthy gains for the full year, though political uncertainty has introduced a level of
volatility in the near
term, says Calvasina.
The VIX
index, which tracks
volatility in stocks, sits at roughly 12 on Friday, maintaining its year - long stay below its long -
term average.
His expectation is that the overall
volatility of a portfolio 30 percent in short -
term bonds and 70 percent in stocks is going to be on par with one that is 40 percent invested in a fund tracking the Bloomberg Barclays U.S. Aggregate
index and 60 percent in stocks.
Big money will buy heavy pieces of
volatility or
index puts and hold them short
term to weather the storm.
These weak hands could certainly cause an uptick in short -
term volatility as they pile into and out of
index funds at inopportune times.
All markets will continue to focus on the
volatility in the equity and bond markets, geopolitical events, developments with the Trump Administration, corporate earnings, oil prices, and will turn to reports tomorrow on Japan's Leading
Index and Machine Tool Orders, German IFO, US Case - Shiller Home Price
Index, New Home Sales, Richmond Fed and Consumer Confidence for near
term guidance.
Meanwhile, the CBOE
volatility index (which measures option premium costs and is a very good intermediate -
term indicator) remains at an uncharacteristically low 20 % reading, with virtually no increase during the recent selloff.
That drop in the
volatility index speaks to how this earnings season hasn't been as volatile, in
terms of stock reactions, as it may seem at first blush.
The CBOE Market
Volatility Index measures market expectations of near - term volatility conveyed by S&P 500 stock index opti
Volatility Index measures market expectations of near - term volatility conveyed by S&P 500 stock index option pr
Index measures market expectations of near -
term volatility conveyed by S&P 500 stock index opti
volatility conveyed by S&P 500 stock
index option pr
index option prices.
Specifically, they relate spot West Texas Intermediate (WTI) crude oil price to: the U.S. dollar exchange rate versus a basket of developed market currencies; Dow Jones Industrial Average (DJIA) return; U.S. short -
term interest rate; the S&P 500 options - implied
volatility index (VIX); and, open interest in the NYMEX crude oil futures (as an indication of financialization of the oil market).
This separately managed account seeks long -
term growth of capital and dividend income greater than the S&P 500 ®
Index, with the potential for less
volatility than the U.S. stock market.
Dozens of worldwide
volatility indexes can serve as valuable tools for investors who wish to gauge intraday and long -
term sentiment changes related to a variety of asset classes.
In fact, the CBOE
Volatility Index (VIX) traded at its lowest level in decades for much of the year.1 Known as the fear gauge, the VIX reflects the market's short - term outlook for stock price v
Volatility Index (VIX) traded at its lowest level in decades for much of the year.1 Known as the fear gauge, the VIX reflects the market's short -
term outlook for stock price
volatilityvolatility.
Mid-
term volatility products tend to be less volatile than short -
term products but also tend to track less close to the VIX
index.
All markets will continue to focus on the
volatility in the equity and bond markets, geopolitical events, developments with the Trump Administration, corporate earnings, oil prices, and will turn to this afternoon's Commitment of Traders Report, followed by reports Monday on Chinese PMI, German CPI and Retail Sales, US Personal Income, Personal Spending, PCE, Chicago PMI, Pending Home Sales, and the Dallas Fed's Manufacturing
Index for near
term direction.
«Identifying VXX / XIV Tendencies» finds that the
Volatility Risk Premium (VRP), estimated as the difference between the current level of the S&P 500 implied volatility index (VIX) and the annualized standard deviation of S&P 500 Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV
Volatility Risk Premium (VRP), estimated as the difference between the current level of the S&P 500 implied
volatility index (VIX) and the annualized standard deviation of S&P 500 Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV
volatility index (VIX) and the annualized standard deviation of S&P 500 Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) ret
index (VIX) and the annualized standard deviation of S&P 500
Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) ret
Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short -
term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short -
term ETN (XIV) returns.
«Identifying VXX / XIV Tendencies» finds that S&P 500 implied
volatility index (VIX) futures roll return, as measured by the percentage difference in settlement price between the nearest and next nearest VIX futures, may be a useful predictor of iPath S&P 500 VIX Short -
term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short -
term ETN (XIV) returns.
In your 20s, all stock
index fund investments might seem like a fine idea, as short -
term volatility matters less than long -
term appreciation when a portfolio has decades to grow, says Phillip J. Deerwester, portfolio analyst and chief compliance officer at TGS Financial Advisors in Radnor, Pennsylvania.
One takeaway from this may be that, at least in a broad sense, equal weighted
index funds are simply better for building wealth over the long -
term if you can withstand the added
volatility.
Scrambling to hedge their positions against further losses, investors bid up the prices of options, leading to the surge in the VIX, a gauge that measures the implied
volatility of near -
term S&P 500
index options.
However, minimum
volatility funds may be used as long -
term investments, so the more important question is this: What was their downside versus broad
indexes over longer periods?
«This particular
index stood out in its ease of use, but also that it needed no information — like stock volume,
volatility or other
terms — besides the single line of data that it analyzes for unusual behavior.»
MASNX seeks to achieve long -
term returns with lower risk and lower
volatility than the stock market, and with relatively low correlation to stock and bond market
indexes.
Now how does this portfolio compare to the S&P 500
Index in
terms of performance,
volatility, and risk - adjusted return?
Historically, a broadly diversified portfolio of stocks (now easily obtained with one or two
index mutual funds) has usually provided much higher long -
term returns than bonds or cash, but with inevitable, dramatic ups and downs (
volatility) that can be very stressful.
The Chicago Board of Options Exchange
Volatility Index (VIX)-- a.k.a. the investor «fear gauge» — is the best way to measure near - term volatility in th
Volatility Index (VIX)-- a.k.a. the investor «fear gauge» — is the best way to measure near -
term volatility in th
volatility in the S&P 500.
CBOE
Volatility Index: is a key measure of market expectations of near - term volatility conveyed by S&P 500 stock index opti
Volatility Index: is a key measure of market expectations of near - term volatility conveyed by S&P 500 stock index option pr
Index: is a key measure of market expectations of near -
term volatility conveyed by S&P 500 stock index opti
volatility conveyed by S&P 500 stock
index option pr
index option prices.
In short, we are well hedged against the potential for significant market losses, but with the implied
volatility on
index options fairly low, we've used shorter -
term market fluctuations to modify our hedges in a way that better allows for any extension of the market's advance.
Seeks to deliver long -
term growth of capital over a full market cycle and dividend income greater than the S&P 500 ®
Index, with the potential for less
volatility than the U.S. stock market
We looked at data between 1978 and 2014 to find that dividend payers in the S&P 500
Index have historically outperformed non-dividend payers over the long
term and have done so with less
volatility.
A study Barry Feldman and Dhruv Roy, cleraly shows the BXM
Index (CBOE S&P 500 BuyWrite
Index), a benchmark for an S&P 500 - based covered call strategy, had slightly higher returns and significantly less
volatility than the S&P 500 over a time period of almost 16 years, despite the fact that covered calls have a truncated upside in the short
term.
Should investors regard any of the exchange - traded products (ETP) based on S&P 500
Index option - implied
volatility (VIX) futures as long -
term holdings?
1The Chicago Board Options Exchange (CBOE)
Volatility Index (VIX) is a key measure of market expectations of near ‐ term volatility conveyed by S&P 500 stock index opti
Volatility Index (VIX) is a key measure of market expectations of near ‐ term volatility conveyed by S&P 500 stock index option pr
Index (VIX) is a key measure of market expectations of near ‐
term volatility conveyed by S&P 500 stock index opti
volatility conveyed by S&P 500 stock
index option pr
index option prices.
Only one out of the five quintiles demonstrated a higher annualized return than the U.S. Aggregate Bond
Index, and none outperformed the U.S. Aggregate Bond
Index in
terms of return per unit of
volatility.
Is the
term structure of CBOE
Volatility Index (VIX) futures useful for timing the underlying stock i
Index (VIX) futures useful for timing the underlying stock
indexindex?
In the U.S. market, both the S&P 500 ® Low
Volatility Index and the S&P 500 Minimum
Volatility Index have shown outperformance over the S&P 500, not just on a risk - adjusted basis, but also in absolute
terms (see Exhibit 4 of Inside Low
Volatility Indices).
Shorter duration, high - yield bonds, such as those captured in the S&P 0 - 3 Year High Yield Corporate Bond
Index, are up 0.09 % MTD and 1.85 % YTD (as of March 13, 2015), as investors move down the curve in order to reduce rate
volatility and
term risk exposure.
The LibertyQ U.S. Large Cap Equity
Index utilizes a multi-factor selection process that is designed to select equity securities from the Russell 1000 ®
Index that have exposure to four investment style - factors: quality, value, momentum and low
volatility — while seeking a lower level of risk and higher risk - adjusted performance than the Russell 1000 ®
Index over the long
term.
The three core multi-factor LibertyQ funds use LibertyQ
indices that apply a truly unique approach of using custom factor weightings — quality (50 %), value (30 %), momentum (10 %) and low
volatility (10 %)-- in seeking to capture desirable, long -
term performance attributes:
Over short periods,
volatility and price swings confuse investors as to which
indexes are better long -
term investments, but the picture becomes clearer when longer periods are considered.
Core real estate, as represented by the National Council of Real Estate Investment Fiduciaries Property
Index, tends to have similar
volatility to corporate and government bonds with a higher return over the long
term.
But the
volatility and occasional large declines of such a non-diversified
index will generally undermine its longer -
term performance.