Cboe Blogs

In recent years many investors have expressed interest in more flexibility for index options in terms of both contract size and and more expirations. So far this month (through October 20) Cboe’s options on the Mini-SPX Index (ticker XSP) have had average daily volume of more than 30,800 contracts. XSP options are on track to set an all-time record for average daily volume in a month (the previous high for average daily volume in a month was around 23,760 contracts) XSP VOLATILITY SKEW CHART The[...]

Many call the VIX (volatility index) the 'fear gauge', but it is just as good at measuring greed.  For years the VIX has been in a solid downtrend, this can be tracked from the peak in 2008 when the fear gauge reached the 90's.  This indicator, created by Bob Whaley in the early 1990's had never reached that level, but some back-testing probably put the VIX at 150 during the crash in 1987 (this past week was the 30th anniversary of this 'momentous' event). So, when the VIX is in a solid[...]

The short term volatility indexes (VXST and VIX) were up a bit last week as the S&P 500 set multiple all-time closing record highs last week.  VIX3M (formerly VXV) and VXMT were both up slightly resulting the rare ‘term-structure twist’.  It’s really not that rare, I just had a nature documentary voice in my head as I typed that.  The table below has few surprises (beyond VXST and VIX higher).  TYVIX heading to higher levels is a bit of a head scratcher[...]

Small caps continue to lag as the Russell 2000 (RUT) was up 0.46% last week while the Russell 1000 (RUI) gained 0.87%.  The RUT was making quite a run in the end of the third quarter, but that move has come to an abrupt halt with RUI up about 1% more than RUT in October.  Small cap bulls (or relative bulls) make have a little hope from what shows up in the chart below.  Despite the RUT underperformance, RVX dropped relative to VIX last week.  We saw similar price action in response[...]

VIX was higher last week, despite the S&P 500 hitting a record high for five days in a row.  At low levels this sort of divergence between VIX and the S&P 500 isn’t usually much of a big deal.  But I wonder if there may be more significance since VIX under 10 has become a bit more of a norm.  I love going through time and sale to see what sort of trading has been going on in VIX options and it’s a bonus when I find a trade structure that’s uncommon. [...]

Today when I was searching for trades to discuss on Volatility 411 I came across a pretty interesting one that was structured a little different than the normal risk reversal.  With VIX around 10.18 and the November futures at 11.65 someone came in and sold 1500 VIX Nov 12 Puts for 1.37 and purchased 3000 VIX Nov 15 Calls for 0.59 and a net credit of 0.19.  The payoff below assumes the trade is held to expiration, but if there is some sort of volatility event between now and then I[...]

An October 17 press release introduced a new corporate name -- Cboe Global Markets -- that “builds on the brand capital of CBOE and the global reach of the Bats business. In Cboe Global Markets, the word ‘Cboe’ is titlecase vs. uppercase … This subtle change signals how the company has greatly expanded beyond its options heritage to a business with multiple asset classes and a much larger global footprint.” Below is an update with ten charts that show growth in 2017[...]

This morning, as I perused my twitter feed that is dedicated to VIX I came across two tweets highlighting the chart below.  Basically, these tweets were noting the high absolute level of Non-Commercial VIX futures short interest that appeared in the CFTC Commitment of Traders (COT) report from last week.  The net position for Non-Commercial VIX futures traders was -174,665, an all-time low.  This figure has some VIX commentators noting a rise in VIX and VIX futures may cause some panicked[...]

As an options buyer, time is of the essence.  The leverage from options is amazing, and if timed right some very large returns can be made, but if you're not quick on the trigger those gains can turn into losses very quickly.  What's nice (and not so nice) about this market is low volatility, the VIX has spent a great deal of time around the 10% area, which is unprecedented.  The unknowns of how this resolves are out there, and many believe the VIX will revert to the mean at some point,[...]

On a week over week basis VIX hardly budged, but we did have a couple of days with closes over 10.00 both Monday and Tuesday.  In fact, we would have had a double digit VIX highs each day if it weren’t for Friday’s price action falling short by 0.02.  The curve moved lower than VIX as October played catch up with VIX going into this week’s settlement.  Worth noting is the volatility of VIX options.  Specifically, the level of VVIX, which ticked higher last[...]

There are lots of articles floating around discussing the lack of volatility in the markets along with the low level of VIX.  It’s reaching a point where we don’t have much else to say and are just waiting for a change of scenery.  With all that going on, the four volatility indexes based on SPX option pricing remained low and on average were basically unchanged last week.  There is a single data point standing out on the table below.  That is VVIX in the upper 90’s. [...]

The recent dominance of small cap stocks came to an end as the Russell 2000 (RUT) dropped just over 0.5% while the Russell 1000 (RUI) gained 0.13%.  That places RUI at a performance advantage of just over 3.25% for 2017.  The volatility indexes based on large cap (VIX) and small cap indexes (Russell 2000 Volatility Index – RVX) reflect the extra risk that showed up in the underperformance of RUT.  Note the spike down in mid-September on the chart below that was followed[...]

Richard Thaler has been doing the media circuit since being announced as the winner of this year’s Sveriges Riksbank Prize in memory of Alfred Nobel (which we all know as the Nobel Prize in Economics).  I heard him reiterate something he said at the CFA Conference in Philadelphia about market volatility.  Basically, he’s surprised stock market volatility is low as well as perplexed by the low level of VIX.  My thought is, “Why wouldn’t stock market volatility[...]

In the past year a number of news reporters and others have asked if the CBOE Volatility Index® (VIX®) was at an unusually “low” level in light of all the worldwide geopolitical uncertainties. The average daily closing levels for the VIX Index are 19.4 since January 1990, but only 12.8 since June 2016. At the 70th CFA Institute Annual Conference in May 2017, Richard Thaler of the University of Chicago opined that the “low” level of the VIX Index was one of the[...]

The big wait is over, no more guessing or hyperbole about 3rd quarter earnings.  The hit parade gets started this week and we'll have some big names reporting (banks end of week), but the tone of the market will be extremely important as will the reaction.  It is usually in this particular reporting season we'll get a glimpse of what companies foresee in the coming year.  We saw a trickle of it over the past couple of weeks from the likes of Micron and a few others, but more information[...]