check01 vix001 http://www.diffresearch.com/# Daily Recap

http://www.diffresearch.com/#

VIX Futures fall with equities for third day — DR Volatility Recap 08.01.2011

August 1, 2011 By michael mccarty Leave a Comment

The CBOE Volatility Index® (VIX®), the SPX option derived measure of implied volatility, fell -1.59 today to close at 23.66 while the underlying SPX index fell -5.34 to close at $1286.94, a -0.41% loss. With the VIX Index fell sharply it remains at a premium to all but the March 2012 future, a very unique occurrence.

VIX futures fell for the third day in a row despite declines in the equity market suggesting that investors continue to believe that the current budget impasse is likely to be resolved in the near term.

76,489 VIX futures changed hands while at the CBOE today, 492,287 VIX option contracts traded, 1.14x the typical daily volume for the product. Calls made up 70.1% of the volume.

data sources: CFE, Trade-Alert LLC, Yahoo Finance and Differential Research LLC

 

The risk of loss in trading commodity futures and options is substantial. Before trading, you should carefully consider your financial position to determine if futures trading is appropriate. When trading futures and/or options, it is possible to lose more than the full value of your account. All funds committed should be risk capital. Past performance is not necessarily indicative of future results.

 

Filed Under: Daily Recap

所有跟帖： 

• vix001 08012011 www.diffresearch.com/ -marketreflections- ♂ (188 bytes) () 08/01/2011 postreply 17:52:34

• 万有引力本身并不是最基本的力，而是更加基本的自由度引起的宏观现象，具体地说就是熵力 -marketreflections- ♂ (1218 bytes) () 08/01/2011 postreply 20:58:45

• future01 http://www.hedgeaccording.ly/ -marketreflections- ♂ (14531 bytes) () 09/13/2011 postreply 13:58:08

• www.stocktiming.com/ vix01 created a hypothetical at-the-money o -marketreflections- ♂ (7791 bytes) () 09/13/2011 postreply 14:41:12

• check01 vix001 gammar0 us1.campaign-archive1.com/home -marketreflections- ♂ (222 bytes) () 09/13/2011 postreply 14:57:16

• fed01 The premium received from the sale of the naked put is fin -marketreflections- ♂ (2789 bytes) () 09/13/2011 postreply 15:06:31

• gammar01 blog.commodityandderivativeadv.com -marketreflections- ♂ (198 bytes) () 09/13/2011 postreply 15:13:47

• check01 vix001 gammar0 the historical ratio of the two is 1.45 ( -marketreflections- ♂ (1584 bytes) () 09/13/2011 postreply 15:20:53

• "Barclays Index Volatility Weekly " VIX at Biggest Discount to E -marketreflections- ♂ (26686 bytes) () 09/13/2011 postreply 15:45:56

• 回复：check01 vix001 gammar0 Dow Jones EURO STOXX 50 Volatility Ind -marketreflections- ♂ (122 bytes) () 09/13/2011 postreply 15:48:25

• check01 vix001 gammar0 onlyvix.blogspot.com/ -marketreflections- ♂ (131 bytes) () 09/13/2011 postreply 15:52:09

• gammar01 VIX represents one standard deviation of the market’s -marketreflections- ♂ (863 bytes) () 09/13/2011 postreply 15:28:50

• •VIX of 48 – 1/3 of the time the SPX will have a daily cha -marketreflections- ♂ (3736 bytes) () 09/13/2011 postreply 15:33:02

• check01 vix001 VIX of 32 is about 1.4x SPX realized volatility 3 -marketreflections- ♂ (2467 bytes) () 09/13/2011 postreply 15:39:49

• check01 vix001 Todd Salamone Friday's VIX high of 39.25 was 68% -marketreflections- ♂ (1539 bytes) () 09/13/2011 postreply 16:09:48

• check01 vix001 3m SPX Realized Volatility (RHS) www.macroriskadv -marketreflections- ♂ (4584 bytes) () 09/13/2011 postreply 16:12:04

• check01 gammar01 www.rjofutures.com/market-news/2011/09/12/globa -marketreflections- ♂ (188 bytes) () 09/13/2011 postreply 16:18:57

• check01 vix001 Adam Warner Implied Volatility does a better job -marketreflections- ♂ (12692 bytes) () 09/13/2011 postreply 15:59:08

• check01 vix001 Adam Warner Ryan Renicker alphatrades.blogspot.c -marketreflections- ♂ (2996 bytes) () 09/13/2011 postreply 16:05:51

• check01 vix001 Adam Warner dailyoptionsreport.com/ -marketreflections- ♂ (82 bytes) () 09/13/2011 postreply 16:21:56