Market data provided by Xignite, Inc. Commodity and historical index data provided by Pinnacle Data Corporation. Short Interest. A Short Squeeze is when a company with a high degree of short interest increases in price, which forces short sellers to "cover" their short interest by purchasing actual shares, which in turn drives the price up even further. Open Interest is the total number of open option contracts that have been traded but not yet liquidated by either an offsetting trade or an exercise or assignment. It has come to be an important product, especially for hedge funds who like to make bets with VIX futures. Since then, the VIX has backed off some, and November options have rolled off. Even more stunning, 8 of the top 10 open interest strikes were puts. 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. 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. While volume is interesting, I think the real story is the open interest of VIX futures contracts. Select VIX Institutional Research. The Cboe Volatility Index ® (VIX ® Index) is considered by many to be the world's premier barometer of equity market volatility. The first interesting point about these open interest data is that they tend to move up and down with stock prices. My question is what does "short interest" even mean here? In other words, the new uptrend should live on. Open interest records: VIX futures hit a new record for open interest with more than 673,000 contracts on August 7, and VIX options reached a new record for open interest … Normally, the VIX futures open interest rises along with prices and we see a price top at the same time as a peak in open interest that is way above the 200-day moving average. A higher ratio indicates unusual activity for the option. We made a comment last week that put-call ratios were WAY out of whack in the VIX. 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%. Please select from the links below for VIX historical data: VIX data for 2004 to present (Updated Daily) * VIX data for 1990 - 2003 * Facebook Twitter Reddit Email RSS Feed Newsletter Donate. VIX Historical Price Data. CBOE Vix Volatility Historical Data Get free historical data for CBOE Vix Volatility. If an options contract exists, it must have had a buyer. Currently 5200PE and 5400PE holds the higher open interest indicating that PE writers are dominating the market and very much confident of holding 5300 for the current options series. On March 5, open interest hit 282,314 contracts, exceeding a 256,870-contract record on March 1. We saw a similar early top in this indicator ahead of the January 2018 top (when XIV went bust). 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. Vol/OI - for the Strike Price: today's volume / today's open interest. Last week the CBOE’s VIX futures set some new volume records. VIX Open Interest Still Lagging Price Rebound. The page first displays merely a summary of trading volume and open interest by contract. We have to deal with the market as it comes to us. 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. Unless otherwise indicated, all data is delayed by 15 minutes. The message was that speculators had been frightened away and were staying away, even though prices were rebounding. The VIX futures contract is a comparatively new product in the financial markets, first traded in March 2004. The Optsum data is available from 2005 through 9/30/2019, or based on the index option availability in ^SPX, ^OEX, and ^VIX. 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. The trade has a maximum gain of $2505 per contract if the VIX closes above 70 at expiration. Open interest fell hard with the COVID Crash in February and March 2020 and has only recovered slightly since then. Cryptocurrency data provided by CryptoCompare. VIX futures contracts have only been a thing since March 2004, and they were not a big thing when they first started. An open interests of 10K contracts mean there are total of 10K contracts being bought and 10K contracts being sold. Short Update on India VIX and Open Interest. They had moved to an all-time high net short position back in November 2019, when the VIX was still hanging around near 12. ... Nifty Options Open Interest Data. At the price lows in January 2016, February 2018 and December 2018, we saw the total open interest in VIX futures remain low for a long time after prices had bottomed. That is a correct and relevant point. Market data provided by Xignite, Inc. Commodity and historical index data provided by Pinnacle Data Corporation. You are responsible for your own investment decisions. Normally, the VIX futures open interest rises along with prices and we see a price top at the same time as a peak in open interest that is way above the 200-day moving average. June 29, 2012 June 28, 2012 by . The second interesting point concerns the current reading, which still remains low compared to the past few years' history. 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 … VIX | A complete CBOE Volatility Index index overview by MarketWatch. Open Interest vs. Volume: An Overview . That is a fascinating observation, all the more so right now because something is different now. To understand open interest, we must first explore how options and futures contracts are created. It, too, tends to move up and down in sympathy with stock prices. 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. Put open interest, represented by the red bars in Chart 1, is decent in near-the-money or slightly-in-the-money strikes, but pale in comparison to the red bars. That began to change beginning in 2012, when open interest finally climbed up above 200,000 contracts. That was when VIX futures first exceeded 200,000 contracts, and so it is a meaningful inflection point for us to look at and analyze. Prior to that election four years ago, total open interest on VIX futures among Large Speculators exceeded 360,00 contracts, or 200,000 more contracts than at … The first interesting point about these open interest data is that they tend to move up and down with stock prices. The S&P 500 has already gained back half of the COVID Crash. April 5, 2019 April 5, 2019 by IWB. This is the unusual behavior. The interpretation which makes the most sense is that the lack of a big rise in VIX futures open interest in 2020 says that we are not encountering a major price top. 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. In order to use StockCharts.com successfully, you must enable JavaScript in your browser.Click Here to learn how to enable JavaScript. I wish we had more data to use to establish the rules of interpretation for these data. I came across this article talking about "short interests" in VIX futures. CBOE Volatility Index historial options data by MarketWatch. This next chart looks at related data, showing the raw net position of the "non-commercial" (large speculator) traders of VIX futures. Sign up for our weekly ChartWatchers Newsletter. Volume and open interest are two key technical metrics that describe the liquidity and activity of options and futures contracts. So that is where I begin our look at this week's chart, showing the VIX futures open interest data compared to the S&P 500. So, a high reading for VIX open interest can be an interesting marker of a price top. We have seen this type of disparity before. That high in the net short position did not mark the top for that up move in prices, which is curious but not without precedent. Execute your vision with Cboe's suite of innovative and flexible products. And the thresholds for "high" and "low" readings are a little bit easier to discern in the chart of this indicator. But if wishes were horses then beggars would ride. Short Interest is the total number of open short positions of a security. Get the basic CBOE Volatility Index (^VIX) option chain and pricing options for different maturity periods from Yahoo Finance. Trading and investing in financial markets involves risk. VIX Futures Historical Data Download. You'll find the closing price, open, high, low, change and %change for the selected range of dates. 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 In the August expiration, the amount of call open interest in VIX heavily outweighs that of puts. VIX VVS Risk Profile. Cryptocurrency data provided by CryptoCompare. Create your own screens with over 150 different screening criteria. Normally the VIX futures open interest rises along with prices, and we see a price top at the same time as a peak in open interest that is way above the 200-day moving average. April 23, 2020. On September 22, 2003, the Cboe began disseminating price level information using revised methodology for the Cboe Volatility Index, VIX. View VIX option chain data and pricing information for given maturity periods. 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. 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. In order to use StockCharts.com successfully, you must enable JavaScript in your browser.Click Here to learn how to enable JavaScript. In the years since 2012, the total open interest in VIX futures has moved up and down in sympathy with what stock prices do. 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. Though VIX futures first traded in 2004, it did not catch on as a meaningful part of the financial markets until 2012. And, in 2020, it is behaving in a way that is quite unusual and, thus, worthy of comment. To see the prices (Open, High, Low, Close, Settle) click on the “Futures: Price & Volume Detail” button, which is just below the date selection. 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. Your Toolkit for Comprehensive Risk Management. It gives you important information regarding whether there is an active secondary market for the option, and can be used as a tool to predict price trends along with reversals. OpenViX 5.3 series has been released. So it can happen that way. 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. This is a change of N/A from last week and … That began to change beginning in 2012, when open interest finally climbed up above 200,000 contracts. The information provided by StockCharts.com, Inc. is not investment advice. Unless otherwise indicated, all data is delayed by 15 minutes. This is a change of N/A from the previous market day and … VIX Futures open Interest Short Term VIX Futures Growing 43% per Year—At Least. 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 implication is that we are not seeing the normal sort of topping condition of the past few years. View stock market news, stock market data and trading information. by Tom McClellan. My understanding is that the futures are not "issued" (opposite of how stocks work). So that is where I begin our look at this week’s chart, showing the VIX futures open interest data compared to the SP500. Trading and investing in financial markets involves risk. © StockCharts.com, Inc. All Rights Reserved. The information provided by StockCharts.com, Inc. is not investment advice. A product that normally has more calls than puts had seen the open interest flip. Prior to these records, the highest VIX futures open interest recorded was 253,319 contracts on June 15, 2011. 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. See a list of High Open Interest using the Yahoo Finance screener. The SP500 has already gained back half of the Covid Crash. The VIX Index is based on real-time prices of options on the S&P 500 ® Index (SPX) and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility. 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. 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. VIX Open Interest Still Lagging Price Reboundby Tom McClellan The SP500 has already gained back half of the Covid Crash. It makes $5 per contract if the VIX closes at expiration between 22 and 45. 27th February 2020 OpenViX released for Amiko Viper 4K51 11th October 2019; OpenViX released for Amiko Viper 4K 22nd August 2019; OpenViX 5.3 series has been released. 22nd August 2019 OpenViX 5.3 will not be supporting some older machines 19th August 2019; OpenViX released for Maxytec Multibox 22nd June 2019; OpenViX released for Zgemma H9 Combo … Sign up for our weekly ChartWatchers Newsletter. You are responsible for your own investment decisions. The weird behavior now is that prices are close to a new all-time high, but the VIX … 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 problem there is in identifying what "high" means for these data. This is the unusual behavior. This week's chart shows the total open interest in VIX futures, with its 200-day moving average. VIX Futures Open Interest – The Uptrend Which Started Off Of The Dec. 24, 2018 Low Should Have A Lot Longer To Run? © StockCharts.com, Inc. All Rights Reserved. Open Interest Explained . 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. That is curious, since prices have already rebounded partway. Get CBOE Interest Rate Volatility Index (.SRVIX:INDEX) real-time stock quotes, news and financial information from CNBC. 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