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Things are starting to taper a bit, but not too much as there are several companies with Weeklys reporting next week. The stocks below have Weeklys available for trading and the numbers represent the last 12 quarters of one day price reactions to their announcement. As always double check the dates as none have been confirmed.
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The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.
The CBOE Honors
On Wednesday evening, CBOE honored former Chairman and CEO Bill Brodsky at a farewell gala in the grand ballroom of Chicago’s historic Navy Pier, attended by hundreds of financial industry professionals. Current CBOE Chairman and CEO Ed Tilly presented Bill and Joan[...]
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The week over week VXST – VIX – VXV – VXMT curve moved higher and appears to have done so in a very parallel fashion. Since the week over week change doesn’t do the actual activity justice so I added the Wednesday closing curve to the graphic below.
I was honestly a little surprised at how little the S&P 500 dropped on a week over week basis and double checked the number. I made a joking prediction Thursday morning that we would retrace the Trump Dump[...]
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Small caps did not have a good week, despite the rebound in the equity markets after Wednesday’s swoon. The Russell 2000 (RUT) was down over 1% last week actually dipping into negative territory for 2017 before recovering at the end of the week. Large cap stocks as represented by the Russell 1000 (RUI) held up better than small caps with RUI down only 0.40% for the week.
When volatility spikes the relative move is usually greater for VIX that the CBOE Russell 2000 Volatility Index[...]
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The term structure and payoff below does not do any justice to what those of us that focus on VIX and related markets this past week. In fact, when the dust settled, all the standard futures were hardly changed on the week.
Just to record what did happen last week I made a second term structure chart that includes the close on Wednesday in addition to the Friday closing curves.
As Wednesday was one of the biggest moves for VIX to the upside in several months, there were a few brave[...]
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Things are starting to taper a bit, but not too much as there are several companies with Weeklys reporting next week. The stocks below have Weeklys available for trading and the numbers represent the last 12 quarters of one day price reactions to their announcement. As always double check the dates as none have been confirmed.
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Whenever we come upon a holiday it's time to take a breath and step back. But as option traders, there is no such break as we are mindful of volatility and the option decay that constantly exists in these derivatives. Time is a critical component of option value, and when there are fewer days to trade an option the decay becomes a detriment to the option buyer. Over the next couple of weeks, the markets will be closed for a full session (Memorial Day). Hence, over the next[...]
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The Weekly News Roundup is your weekly recap of CBOE features, options industry news and VIX Index and volatility-related articles from print, broadcast, online and social media outlets.
Bill Brodsky’s Look Back
After leading CBOE for 20 years as Chairman and CEO, Bill Brodsky retired from the exchange two months ago.
During his tenure as Chairman and CEO, Bill oversaw a number of major initiatives at CBOE such as the migration of the traditional floor-based trading to an[...]
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The dominance of large cap stocks in 2017 continued last week as the Russell 1000 (RUI) lost 0.41% while the Russell 2000 (RUT) was down over 1%. This widens the performance gap for 2017 to put RUI in a 4.8% lead relative to RUT.
The combination of small cap underperformance and VIX remaining at low levels resulted in the CBOE Russell 2000 Volatility Index (RVX) to VIX ratio to climb back to the 50% range.
On Monday one daring soul put on a high dollar risk, low dollar reward trade[...]
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This time last week we were all pretty certain that the final round of the French election was a done deal. Short term SPX implied volatility wasn’t taking any chances with VXST closing last Friday at 11.40. With the election outcome going as expected VXST got a little crushed and the shape of the VXST – VIX – VXV – VXMT curve moved back to contango.
Both the S&P 500 and VIX dropped last week, as the number of potential stock market land mines over[...]
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VIX was slightly lower on the week despite the S&P 500 dropping as well. The near dated futures worked lower with May finishing Friday at premium of just over 0.80 as that contract goes off the board this coming week. From August and beyond the futures were actually higher which creates a pretty steep curve below.
On Tuesday, we got what I am going to refer to as a MOAVCS (Mother of all VIX Call Spreads). Near the end of the day a trader came in and purchased at least 195,000[...]
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By Matt Moran
This week I received inquiries about the trends in options volume.
The large-sized SPXW Weekly options have successfully seen volume growth over each the past seven years. Key points about SPXW Weekly options include –
VOLUME. Average daily volume (a.d.v.) in the first four months of 2017 was 500,964 contracts, (up 30% over the a.d.v. for the full year of 2016; see Exhibit 1 below);
MANY EXPIRATIONS. SPXW Weeklys options have expirations on ten upcoming dates in May[...]
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Last week we talked about how the Millennials can get a jump on securing their financial future. It can be as easy as putting a small amount of money aside regularly each week and month. Today's article talks about being proactive and saving for the next generation. It is mission critical to take an aggressive role to get them off to a good start, as the financial future for them and our country looks murky.
With the financial constraints that may be encountered down the road,[...]
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Large cap stocks widened the performance spread with small cap stocks with the Russell 1000 (RUI) gaining and the Russell 2000 (RUT) dropping a bit last week. For the year, RUI is up 7.13% while RUT is up 2.94%.
VIX dropped last week, but the CBOE Russell 2000 Volatility Index (RVX) was higher. Admittedly, RVX was up only 0.02 but when combined with the VIX drop of 0.25 the result is a slight widening of the spread between RVX and VIX.
One trader put on a position late Friday[...]
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The chart below may be one of the final references to the French Election which came to an end this weekend. Note VXST, which reflects the IV of very short term SPX options was elevated going into the weekend. I don’t think it is too much of a stretch to say that a quick drop in VXST may be in the cards come Monday morning.
SKEW dropping dramatically last week may be the last bastion of higher volatility dropping. This happened despite VIX dropping which makes the[...]