• VIX | Trader Talk | Trade Ideas | Oct 18, 2017, 7:57 PM

    Block Trade Analysis - VIX Ratio Risk Reversal

    Block Trade Analysis - VIX Ratio Risk Reversal

    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[...]

  • Oct 17, 2017, 12:41 PM

    Ten Charts Show Strong Growth for Cboe Index Products in 2017

    Ten Charts Show Strong Growth for Cboe Index Products in 2017

    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[...]

  • VIX | Trader Talk | Oct 16, 2017, 12:21 PM

    Some Perspective on High VIX Non-Commercial Short Interest

    Some Perspective on High VIX Non-Commercial Short Interest

    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[...]

  • Oct 16, 2017, 10:51 AM

    Are You Patient Enough?

    Are You Patient Enough?

    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,[...]

  • VIX | Trader Talk | Trade Ideas | Oct 15, 2017, 9:15 AM

    Weekend Review of VIX Options and Futures - 10/9/2017 - 10/13/2017

    Weekend Review of VIX Options and Futures - 10/9/2017 - 10/13/2017

    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[...]

  • VIX | Trader Talk | Strategy | Trade Ideas | Oct 14, 2017, 11:45 AM

    Weekend Review of Volatility Indexes and ETPs - 10/9/2017 - 10/13/2017

    Weekend Review of Volatility Indexes and ETPs - 10/9/2017 - 10/13/2017

    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. [...]

  • Technical Analysis & Charts | VIX | Trader Talk | Trade Ideas | Oct 14, 2017, 11:40 AM

    Weekend Review of Russell 2000 Options and Volatility - 10/9/2017 - 10/13/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/9/2017 - 10/13/2017

    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[...]

  • VIX | Trader Talk | Oct 11, 2017, 8:21 PM

    Why Shouldn't Market Volatility Be Low?

    Why Shouldn't Market Volatility Be Low?

    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[...]

  • VIX | Oct 9, 2017, 3:16 PM

    Four Facts to Help Address the Issue – Is the VIX “Low” in 2017?

    Four Facts to Help Address the Issue – Is the VIX “Low” in 2017?

    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[...]

  • Oct 9, 2017, 9:05 AM

    Earnings Season is Upon Us

    Earnings Season is Upon Us

    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[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 11:15 AM

    Weekend Review of VIX Futures and Options - 10/2/2017 - 10/6/2017

    Weekend Review of VIX Futures and Options - 10/2/2017 - 10/6/2017

    Despite closing at an all-time low on Thursday and the S&P 500 gaining over 1% last week, VIX was slightly higher when the dust settled Friday.  The same cannot be said for the VIX futures curve where all contracts lost value last week.  It should be noted that despite the low level (or because of the low level of VIX), VVIX close just shy of 100 last week.  VIX Weeklys continue to become a bigger part of the VIX story with non-standard expirations continuing to experience volume[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 10:41 AM

    Weekend Review of Volatility Indexes and ETPs - 10/2/2017 - 10/6/2017

    Weekend Review of Volatility Indexes and ETPs - 10/2/2017 - 10/6/2017

    The VXST – VIX – VIXM3 – VXMT curve was mixed with VIX rising but the other three S&P 500 related volatility indexes lower on the week. On the summary table, SKEW and VVIX stand out as indications that risk is lurking around the markets.  As a perspective, we have SKEW data going back to 1990 and Friday’s close places the index higher than 99.11% of all observations.  The long-term average (going back to 2007) for VVIX is 87.71, which places Friday’s[...]

  • VIX | Trader Talk | Trade Ideas | Oct 7, 2017, 9:40 AM

    Weekend Review of Russell 2000 Options and Volatility - 10/2/2017 - 10/6/2017

    Weekend Review of Russell 2000 Options and Volatility - 10/2/2017 - 10/6/2017

    Both the Russell 2000 (RUT) and Russell 1000 (RUI) had a solid week with both rising about 1.3%.  Small caps still lag large cap stocks, but since the summer RUT has been slowly chipping away at the lead held but the Russell 1000. After a dip to the lowest levels in 2017, which was then followed by a couple of weeks of small cap outperformance, the relationship between the CBOE Russell 2000 Volatility index (RVX) and VIX has returned to the elevated levels that have been common this year. [...]

  • VIX | Trader Talk | Oct 6, 2017, 10:08 AM

    Fed Survey on Firm Uses of Equity Volatility

    Fed Survey on Firm Uses of Equity Volatility

    Every three months the Federal Reserve conducts a survey titled, “The Senior Credit Officer Opinion Survey on Dealer Financing Terms”.  This report comes in summary form as well as specific responses to 79 questions that are asked each quarter.  Periodically there are some extra questions placed at the end of the survey, needless to say the academic in me got pretty excited when I saw questions 81 through 89 were titled Special Questions on Client Trading in Equity Volatility[...]

  • Oct 2, 2017, 1:47 PM

    Current Dynamics of the VIX Market Discussed by Panel in NYC

    Current Dynamics of the VIX Market Discussed by Panel in NYC

    On September 27 in New York City, fifty financial professionals attended a panel discussion on Current Dynamics of the VIX Market. SPEAKERS I moderated the session that featured expert speakers Bob Dwyer of ProShares; Aymen Boukhari of Societe Generale, Joanne Hill of CBOE Vest Financial; and Vinit Srivastava of S&P Dow Jones Indices.     SOME OF THE TOPICS AND ISSUES DISCUSSED Among the topics discussed were investor strategies and recent volume records for VIX futures[...]