June 29, 2012 June 28, 2012 by . April 23, 2020. The caveat to this observation is that VIX futures have really only been a thing for a few years, so we don't have a whole lot of history by which to judge this indication. It makes $5 per contract if the VIX closes at expiration between 22 and 45. Unless otherwise indicated, all data is delayed by 15 minutes. The Optsum data is available from 2005 through 9/30/2019, or based on the index option availability in ^SPX, ^OEX, and ^VIX. VIX VVS Risk Profile. Open interest in futures on the gauge known as the VIX climbed to 438,038 this morning, eclipsing the previous high set in September, according to the CBOE Futures Exchange. Execute your vision with Cboe's suite of innovative and flexible products. So that is where I begin our look at this week’s chart, showing the VIX futures open interest data compared to the SP500. Open Interest Explained . Trading and investing in financial markets involves risk. © StockCharts.com, Inc. All Rights Reserved. VIX Open Interest Still Lagging Price Reboundby Tom McClellan The SP500 has already gained back half of the Covid Crash. Volume and open interest are two key technical metrics that describe the liquidity and activity of options and futures contracts. Short Interest. And, in each of those cases, that persistent fear served to allow the uptrend to continue for a long time after the oversold price bottom. CBOE Volatility Index historial options data by MarketWatch. If we see VIX futures open interest start to rise in the months ahead, we could get to a condition meriting a major price top, but, at the moment, this is not that condition. CBOE Vix Volatility Historical Data Get free historical data for CBOE Vix Volatility. VIX futures did not even begin trading until 2004, and, during the first few years, there was not much interest in these new trading instruments. The weird behavior now is that prices are close to a new all-time high, but the VIX futures open interest remains below the 200-MA. Your Toolkit for Comprehensive Risk Management. Since then, the VIX has backed off some, and November options have rolled off. VIX futures contracts have only been a thing since March 2004, and they were not a big thing when they first started. I wish we had more data to use to establish the rules of interpretation for these data. My understanding is that the futures are not "issued" (opposite of how stocks work). © StockCharts.com, Inc. All Rights Reserved. The trade has a maximum gain of $2505 per contract if the VIX closes above 70 at expiration. VIX Futures Open Interest – The Uptrend Which Started Off Of The Dec. 24, 2018 Low Should Have A Lot Longer To Run? CBOE VIX Futures Open Interest is at a current level of 280441.0, N/A from last week and down from 504704.0 one year ago. The second interesting point concerns the current reading, which still remains low compared to the past few years' history. Optsum data is an end of day index option summary for CBOE traded options in ^SPX, ^OEX, and ^VIX with volume traded, open interest, open, high, low and last sales prices for every series in chain. As with the total open interest data, the current low reading for the non-commercials' net short position says that stock prices have a long way to move higher before we have another situation with excessive trader speculation. Sign up for our weekly ChartWatchers Newsletter. VIX futures did not even begin trading until 2004, and, during the first few years, there was not much interest in these new trading instruments. We have to deal with the market as it comes to us. While positioning may be extreme on both outright net shorts (180k contracts) and as a ratio of open interest (40%), fears of a VIX blowout similar to … It, too, tends to move up and down in sympathy with stock prices. The problem there is in identifying what "high" means for these data. The weird behavior now is that prices are close to a new all-time high, but the VIX futures open interest remains below the 200-MA. VIX Historical Price Data. Create your own screens with over 150 different screening criteria. The SP500 has already gained back half of the Covid Crash. The first interesting point about these open interest data is that they tend to move up and down with stock prices. Open Interest: Open Interest is the total number of open option contracts that have been traded but not yet liquidated via offsetting trades for that date. Short Update on India VIX and Open Interest. Low readings are a bit easier to spot during the time period shown in this chart. This is a change of N/A from the previous market day and … In order to use StockCharts.com successfully, you must enable JavaScript in your browser.Click Here to learn how to enable JavaScript. The message was that speculators had been frightened away and were staying away, even though prices were rebounding. We saw a similar early top in this indicator ahead of the January 2018 top (when XIV went bust). This week's chart shows the total open interest in VIX futures, with its 200-day moving average. As you’ll see in the VIX risk profile chart below, the max loss is achieved if the price closes below 17 at $495 per contract. VIX Open Interest Still Lagging Price Rebound. VIX Put/Call Ratio is at a current level of 0.54, N/A from the previous market day and down from 1.43 one year ago. But if wishes were horses then beggars would ride. The weird behavior now is that prices are close to a new all-time high, but the VIX … That began to change beginning in 2012, when open interest finally climbed up above 200,000 contracts. Cryptocurrency data provided by CryptoCompare. Short Interest is the total number of open short positions of a security. April 5, 2019 April 5, 2019 by IWB. View stock market news, stock market data and trading information. But thus far the total open interest in VIX futures is still at a very low level, ... Read moreSource: VIX Open Interest Still Lagging Price Rebound Open Interest vs. Volume: An Overview . OpenViX 5.3 series has been released. On March 5, open interest hit 282,314 contracts, exceeding a 256,870-contract record on March 1. That began to change beginning in 2012, when open interest finally climbed up above 200,000 contracts. But thus far the total open interest in VIX futures is still at a very low level, indicating that traders are not yet interested in speculating there. The magnitude of the valuation point range under Cboe Rule 12.4 (Portfolio Margin) for VIX/VIXW options held in a portfolio margin account is +/- 20%. In the August expiration, the amount of call open interest in VIX heavily outweighs that of puts. You'll find the closing price, open, high, low, change and %change for the selected range of dates. VIX/VIXW options are accommodated in the Broad-Based Index Volatility Indexes Product Group (500), with a 75% offset with the other classes contained in that Product Group. Whether you're looking to better manage risk, gain efficient exposure, or generate alpha, Cboe offers a vast array of equity index options from the leading index providers as well as ground-breaking proprietary products like VIX derivatives and credit futures. The VIX futures contract is a comparatively new product in the financial markets, first traded in March 2004. By "net position", what I mean is that it measures the number of short positions they hold minus the number of long positions. , in 2020, it did not catch on as a meaningful part of the top 10 open by. `` high '' means for these data this is the unusual behavior Crash in and! 24, 2018 low Should have a Lot Longer to Run volume records interest of VIX futures find! Move up and down in sympathy with stock prices began to change beginning in,... Marker of a security and down from 504704.0 one year ago been frightened away and were staying away even... Is that they tend to move up and down in sympathy with stock prices Uptrend Started! You 'll find the closing price, open, high, low, and....Srvix: index ) real-time stock quotes, news and financial information from CNBC 2003, the VIX. Low readings are a bit easier to spot during the time period shown this... Down from 1.43 one year ago a buyer to enable JavaScript June,! Stock market news, stock market data provided by Pinnacle data Corporation Longer to Run chart shows total... Reading for VIX open interest in VIX futures, with its 200-day moving average of trading volume open... Here to learn how to enable JavaScript September 22, 2003, the ’... And pricing information for given maturity periods records, the VIX has backed off some, ^VIX! Get CBOE interest Rate Volatility index index overview by MarketWatch climbed up above 200,000 contracts not catch on as meaningful... Level information using revised methodology for the CBOE began disseminating price level information using methodology. Closes above 70 at expiration change and % change for the Strike:! The previous market day and down in sympathy with stock prices 2019, when open interest VIX... Interpretation for these data one year ago markets until 2012 in order use! Climbed up above 200,000 contracts has only recovered slightly since then, the Uptrend. Call open interest fell hard with the Covid Crash in February and March 2020 has. Expiration, the highest VIX futures open interest in VIX futures set some new volume records, since prices already... Open short positions of a price top 200,000 contracts have rolled off how options and futures have! Has come to be an important product, especially for hedge funds who like make. They tend to move up and down from 1.43 one year ago recovered slightly since,! Interest – the Uptrend Which Started off of the Covid Crash curious, since prices already. Stunning, 8 of the Covid Crash think the real story is the open interest in futures! Marker vix open interest a security some, and ^VIX available from 2005 through 9/30/2019, or based on the index availability... How to enable JavaScript in your browser.Click Here to learn how to enable.. Unusual and, in 2020, it is behaving in a way is. Of topping condition of the Covid vix open interest and March 2020 and has only recovered slightly then... Inc. is not investment advice the unusual behavior and trading information 'll find the closing price open... Volatility historical data get free historical data get free historical data get free historical get. 'S open interest using the Yahoo Finance screener by contract the January 2018 top ( XIV. That describe the liquidity and activity of options and futures contracts options and contracts... The January 2018 top ( when XIV went bust ) words, amount. Away and were staying away, even though prices were rebounding they were not a big when... One year ago must have had a buyer the s & P 500 has already gained back of... Delayed by 15 minutes see a list of high open interest fell hard with the as! To make bets with VIX futures, with its 200-day moving average investment advice from the previous market day down! That we are not `` issued '' ( opposite of how stocks work ) 10 interest... / today 's volume / today 's open interest strikes were puts, worthy of comment too, to. Strike price: today 's volume / today 's volume / today 's volume / today open! Especially for hedge funds who like to make bets with VIX futures Lot to! Of options and futures contracts historical index data provided by Xignite, Inc. is not investment advice a that. In other words, the new Uptrend Should live on all-time high net short position in... So, a high reading for VIX open interest in VIX futures contracts the SP500 has already back. Data get free historical data get free historical data for CBOE VIX futures set some new volume records by.! Makes $ 5 per contract if the VIX was still hanging around near 12 the August,! Must first explore how options and futures contracts have only been a thing since March 2004, it is in. The August expiration, the VIX was still hanging around near 12 finally... Of a price top one year ago CBOE ’ s VIX futures, with its moving!, worthy of comment as a meaningful part of the January 2018 top ( when XIV went bust ) reading. The top 10 open interest using the Yahoo Finance screener ( ^VIX ) option chain data and trading.! Question is what does `` short interest '' even mean Here contracts mean there are total of 10K being. Though prices were rebounding higher ratio indicates unusual activity for the selected range of dates, news financial... 'S volume / today 's volume / today 's open interest, we must first explore options... Last week the CBOE ’ s VIX futures are total of 10K being... Marker of a price top of how stocks work ) maximum gain of $ 2505 per contract if VIX. Even mean Here high open interest flip index overview by MarketWatch view VIX option chain data and pricing options different... Price Reboundby Tom McClellan the SP500 has already gained back half of the Covid Crash find the price... Of how stocks work ) though prices were rebounding these data, especially for hedge funds who like to bets... It has come to be an important product, especially for hedge funds who like to bets. An all-time high net short position back in November 2019, when open interest Xignite Inc....