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Big Picture
Two big themes to watch going into next week. We get the brunt of 2Q 2017 earnings reports next week which creates some trading opportunities (for the short-term people here) and also gives us some insight into what companies think about the second half of this year (for those of us in the long game). Also, we do get an FOMC announcement on Wednesday. The fixed income futures market is pricing in a 96.9% chance that rates remain unchanged and the odds of a December[...]
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Long long long long long list of companies with Weeklys reporting next week. None of the times are confirmed so double check and the numbers below represent the last three years of stock price reactions to earnings.
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Other trades of note:
Health Care Select Sector SPDR ETF (XLV) at 80.94, a Bear Put Spread traded 1,430 times. The trader bought the Sept 15th 80/74 spread paying .85.
iShares MSCI EAFE ETF (EFA) at 66.77, a Bull Put Spread traded 4,684 times. The trader sold the Sept 15th 64/61 spread for a credit of .16.
Energy Transfer Equity, L.P. (ETE) at 18.20, a Risk Reversal traded 2,000 times. The trader sold the Oct 20th 18 Puts and bought the Oct 20th 19 Calls collecting .46.
Russell 2000 Index[...]
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Big Picture
25 of the 500 stocks in the S&P 500 report earnings today, next week we get the brunt of earnings seasons with about 25% of the stocks that have Weeklys reporting earnings. The oil market continues to attract a lot of attention and oil futures topped $50 for the first time since early June. USO skew appears below with risk appearing to be priced in equally on the upside and downside.
Overnight / Pre-Market
The Bank of Japan left interest rates unchanged[...]
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Big Picture
Earnings season continues with results being somewhat mixed so far. The economic calendar is fairly light this week. We do get the EIA Crude Oi stockpile change numbers at 9:30 Chicago time – expectations are for a drop of 3.214 million, last week’s number was down 7.564 million.
Tonight, the Bank of Japan will announce their interest rate decision (think FOMC in Japan) with expectations for the no change maintaining a short term policy interest rate of[...]
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Big Picture
Health care reform appears to be dead in the Senate, the market has yawned probably having discounted the outcome already or possibly just not caring. For the most part the market is focused on earnings.
Volatility Index Performance
The suite of volatility indexes calculated by CBOE finished last week at very low levels. Despite this they were mixed yesterday with VXST leading to the upside.
Overnight / Pre-Market
Netflix (NFLX) hit a homer after the close and the[...]
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Other trades of note:
Bank of America (BAC) at 24.04, a 1x2 Ratio Spread traded. The trader sold 20,000 Jul 21st 25 Calls at .05 and bought 10,000 Jul 21st 24.50 Calls for .17 cents, paying .07 on the package. BAC reports earnings tomorrow.
BP p.l.c. (BP) at 35.13, a Risk Reversal traded 3,000 times. The trader sold the Sept 15th 34 Puts and bought the Sept 15th 36 Calls for a .25 credit. BP is expected to report earnings on 08/01/2017 before market open.
iPath S&P 500 VIX Futures ETN[...]
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I am asked quite often how I have managed to stick around as an options trader for as long as I have, well over fifteen years and counting. I refer often to the successes and failures along the way and learning about myself, my behavior under certain conditions and how I have dealt with adversity. Trading I consider a metaphor of life, and we can extract some of the same principles of action and behavior simply by taking an introspective look into our own lives.
When we see opportunity[...]
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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.
Strong Volume for SPXW Options with Monday, Wednesday, Friday and Month-End Expirations
The large-sized SPXW S&P 500 options with p.m. settlement saw strong trading volume in the month of June, seeing an average daily volume (ADV) of 600,000 contracts.
ADV for SPXW options in June[...]
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Big Picture
VIX has everyone’s attention after closing on Friday at 9.51 which is the lowest level since December 1993, but also the lowest non-holiday week close on record. The S&P 500 finished Friday at an all time high and is now up over 10% for the year.
The CBOE Russell 2000 Volatility Index (RVX) vs. VIX ratio climbed last week as the Russell 2000 under performed the S&P 500 by about 50 bp. This ratio is worth watching for an early indication that small cap[...]
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Second quarter earnings season kicks in high gear this coming week. As always the numbers below represent the last 12 quarters or stock price reaction to earnings announcements. The dates and times have not been confirmed.
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Stocks had a nice week with many indexes achieving all-time highs. Small cap stocks in the form of the Russell 2000 (RUT) gained 0.92%, but this rise was outpaced by the Russell 1000 (RUI) which was up 1.4% for the week.
Lately I’ve been fixated on the relationship between the CBOE Russell 2000 Volatility Index (RVX) and VIX. The RVX premium had been shrinking which led me to think a resurgence in relative performance for small caps was on the horizon. This trend reversed[...]
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VIX finished the week at the lowest close since 1993, but the two lower closes came during a holiday week so I’m considering consulting with other VIX watchers with respect to if this is basically an all-time low. Note the dramatic move in the July contract that goes off the board on the open Monday.
The most exciting activity we got from VIX came around lunchtime on Tuesday. Many traders may have miss VIX running to the mid-11’s and the July contract trading around 12.50. [...]
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We only have data going back to the 2007 – 2008 period for the non-VIX SPX related indexes on the diagram below. VXST, VXV, and VXMT all made all-time lows, based on the history we have to work with, on the close Friday. VIX closing at 9.51 was the third lowest on record. However, the two instances of lower closing prices for VIX occurred on December 22nd and 23rd of 1993 (9.38 and 9.41). In December 1993, the 24th was a market holiday as Christmas fell on the 25th. [...]
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Other trades of note:
iShares MSCI Emerging Markets Index ETF (EEM) at 43.34, a Bear Put Spread traded 15,000 times. The trader bought the Sept 15th 43/41 spread paying 50 cents.
iPath S&P 500 VIX Futures ETN (VXX) at 12.07, a trader executed a Diagonal Put Spread on a 2:3 ratio. This trader sold 2,000 of the Sept 15th 14 Puts and bought 3,000 of the Dec 15th 10 Puts for a credit of 2.82 per package.
Lowe’s (LOW) at 75.82, a Calendar Spread traded 4,700 times. The trader sold the Jul 21st[...]