Open interest fell hard with the COVID Crash in February and March 2020 and has only recovered slightly since then. Execute your vision with Cboe's suite of innovative and flexible products. They had moved to an all-time high net short position back in November 2019, when the VIX was still hanging around near 12. That began to change beginning in 2012, when open interest finally climbed up above 200,000 contracts. The first interesting point about these open interest data is that they tend to move up and down with stock prices. 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 … We have seen this type of disparity before. In the years since 2012, the total open interest in VIX futures has moved up and down in sympathy with what stock prices do. It has come to be an important product, especially for hedge funds who like to make bets with VIX futures. Volume and open interest are two key technical metrics that describe the liquidity and activity of options and futures contracts. I came across this article talking about "short interests" in VIX futures. April 23, 2020. 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. And, in 2020, it is behaving in a way that is quite unusual and, thus, worthy of comment. VIX Futures open Interest Short Term VIX Futures Growing 43% per Year—At Least. It, too, tends to move up and down in sympathy with stock prices. The implication is that we are not seeing the normal sort of topping condition of the past few years. To understand open interest, we must first explore how options and futures contracts are created. 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. 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. 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. Market data provided by Xignite, Inc. Commodity and historical index data provided by Pinnacle Data Corporation. So it can happen that way. We made a comment last week that put-call ratios were WAY out of whack in the VIX. 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 5, 2019 April 5, 2019 by IWB. While volume is interesting, I think the real story is the open interest of VIX futures contracts. VIX Futures Open Interest – The Uptrend Which Started Off Of The Dec. 24, 2018 Low Should Have A Lot Longer To Run? That began to change beginning in 2012, when open interest finally climbed up above 200,000 contracts. 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. That is curious, since prices have already rebounded partway. Unless otherwise indicated, all data is delayed by 15 minutes. Short Interest is the total number of open short positions of a security. by Tom McClellan. 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 first interesting point about these open interest data is that they tend to move up and down with stock prices. 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. Last week the CBOE’s VIX futures set some new volume records. The page first displays merely a summary of trading volume and open interest by contract. So, a high reading for VIX open interest can be an interesting marker of a price top. Prior to these records, the highest VIX futures open interest recorded was 253,319 contracts on June 15, 2011. Open Interest Explained . The message was that speculators had been frightened away and were staying away, even though prices were rebounding. 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 … 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. This is a change of N/A from last week and … CBOE Vix Volatility Historical Data Get free historical data for CBOE Vix Volatility. Though VIX futures first traded in 2004, it did not catch on as a meaningful part of the financial markets until 2012. 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. 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. The problem there is in identifying what "high" means for these data. 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. We have to deal with the market as it comes to us. Cryptocurrency data provided by CryptoCompare. Get the basic CBOE Volatility Index (^VIX) option chain and pricing options for different maturity periods from Yahoo Finance. In order to use StockCharts.com successfully, you must enable JavaScript in your browser.Click Here to learn how to enable JavaScript. Open Interest vs. Volume: An Overview . My question is what does "short interest" even mean here? Short Interest. 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. 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. VIX Historical Price Data. It makes $5 per contract if the VIX closes at expiration between 22 and 45. Vol/OI - for the Strike Price: today's volume / today's open interest. ... Nifty Options Open Interest Data. Unless otherwise indicated, all data is delayed by 15 minutes. 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. That is a correct and relevant point. 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. The information provided by StockCharts.com, Inc. is not investment advice. Get CBOE Interest Rate Volatility Index (.SRVIX:INDEX) real-time stock quotes, news and financial information from CNBC. This is a change of N/A from the previous market day and … The SP500 has already gained back half of the Covid Crash. 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. Facebook Twitter Reddit Email RSS Feed Newsletter Donate. 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. 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 … In other words, the new uptrend should live on. 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. 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%. Low readings are a bit easier to spot during the time period shown in this chart. VIX Open Interest Still Lagging Price Rebound. 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. I wish we had more data to use to establish the rules of interpretation for these data. 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. The Optsum data is available from 2005 through 9/30/2019, or based on the index option availability in ^SPX, ^OEX, and ^VIX. VIX Open Interest Still Lagging Price Reboundby Tom McClellan The SP500 has already gained back half of the Covid Crash. So that is where I begin our look at this week’s chart, showing the VIX futures open interest data compared to the SP500. On September 22, 2003, the Cboe began disseminating price level information using revised methodology for the Cboe Volatility Index, VIX. 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. The trade has a maximum gain of $2505 per contract if the VIX closes above 70 at expiration. The information provided by StockCharts.com, Inc. is not investment advice. But if wishes were horses then beggars would ride. 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. © StockCharts.com, Inc. All Rights Reserved. Cryptocurrency data provided by CryptoCompare. 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. Trading and investing in financial markets involves risk. 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. We saw a similar early top in this indicator ahead of the January 2018 top (when XIV went bust). The VIX futures contract is a comparatively new product in the financial markets, first traded in March 2004. An open interests of 10K contracts mean there are total of 10K contracts being bought and 10K contracts being sold. 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. VIX Futures Historical Data Download. © StockCharts.com, Inc. All Rights Reserved. See a list of High Open Interest using the Yahoo Finance screener. This week's chart shows the total open interest in VIX futures, with its 200-day moving average. To see the prices (Open, High, Low, Close, Settle) click on the “Futures: Price & Volume Detail” button, which is just below the date selection. Mean there are total of 10K contracts being bought and 10K contracts there. Stockcharts.Com successfully, you must enable JavaScript the August expiration, the Uptrend... 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