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 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. 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. April 5, 2019 April 5, 2019 by IWB. 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 SP500 has already gained back half of the Covid Crash. 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. We made a comment last week that put-call ratios were WAY out of whack in the VIX. The weird behavior now is that prices are close to a new all-time high, but the VIX … In order to use StockCharts.com successfully, you must enable JavaScript in your browser.Click Here to learn how to enable JavaScript. An open interests of 10K contracts mean there are total of 10K contracts being bought and 10K contracts being sold. Open interest fell hard with the COVID Crash in February and March 2020 and has only recovered slightly since then. I came across this article talking about "short interests" in VIX futures. 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 The implication is that we are not seeing the normal sort of topping condition of the past few years. You are responsible for your own investment decisions. 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 … We have to deal with the market as it comes to us. The page first displays merely a summary of trading volume and open interest by contract. 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. Please select from the links below for VIX historical data: VIX data for 2004 to present (Updated Daily) * VIX data for 1990 - 2003 * Short Interest is the total number of open short positions of a security. 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. You'll find the closing price, open, high, low, change and %change for the selected range of dates. Facebook Twitter Reddit Email RSS Feed Newsletter Donate. The first interesting point about these open interest data is that they tend to move up and down with stock prices. So, a high reading for VIX open interest can be an interesting marker of a price top. See a list of High Open Interest using the Yahoo Finance screener. This is the unusual behavior. The trade has a maximum gain of $2505 per contract if the VIX closes above 70 at expiration. While volume is interesting, I think the real story is the open interest of VIX futures contracts. VIX Open Interest Still Lagging Price Reboundby Tom McClellan The SP500 has already gained back half of the Covid Crash. Your Toolkit for Comprehensive Risk Management. 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. Open Interest vs. Volume: An Overview . The VIX futures contract is a comparatively new product in the financial markets, first traded in March 2004. 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. That is a correct and relevant point. 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. 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. 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. Select VIX Institutional Research. 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. Even more stunning, 8 of the top 10 open interest strikes were puts. In order to use StockCharts.com successfully, you must enable JavaScript in your browser.Click Here to learn how to enable JavaScript. Market data provided by Xignite, Inc. Commodity and historical index data provided by Pinnacle Data Corporation. The Optsum data is available from 2005 through 9/30/2019, or based on the index option availability in ^SPX, ^OEX, and ^VIX. 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. 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. by Tom McClellan. So that is where I begin our look at this week’s chart, showing the VIX futures open interest data compared to the SP500. June 29, 2012 June 28, 2012 by . My understanding is that the futures are not "issued" (opposite of how stocks work). So it can happen that way. The Cboe Volatility Index ® (VIX ® Index) is considered by many to be the world's premier barometer of equity market volatility. 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. VIX futures contracts have only been a thing since March 2004, and they were not a big thing when they first started. 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 S&P 500 has already gained back half of the COVID Crash. View VIX option chain data and pricing information for given maturity periods. That began to change beginning in 2012, when open interest finally climbed up above 200,000 contracts. 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. 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. OpenViX 5.3 series has been released. Last week the CBOE’s VIX futures set some new volume records. 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. By "net position", what I mean is that it measures the number of short positions they hold minus the number of long positions. 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