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Big Picture
The FOMC didn’t offer up any surprises yesterday afternoon and the stock market reacted with a giant yawn. VIX finally put in a new all-time intraday low hitting 8.84 as the FOMC announcement was just about to hit the tape. Before the day was done VIX had worked its way up to 9.60. The odds of a rate hike in December still remains at about 50%, but I’m taking the no hike side of that bet. It will take very little in the form of negative news for the[...]
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Other trades of note:
iPath S&P 500 VIX Futures ETN (VXX) at 11.03, a Bull Call Spread traded 8,350 times. The trader bought the Aug 18th 13/15 spread paying .12.
Nike, Inc. (NKE) at 58.90, a Bear Call Spread traded 1,650 times. The trader sold the Jan 19th 60/65 spread for a credit of 1.68.
Hilton Worldwide Holdings, Inc. (HLT) at 63.55, a Bull Call Spread traded 2,724 times. The trader bought the Sept 15th 65/70 spread paying 1.20.
United States Oil (USO) at 9.86, a Bear Put Spread traded[...]
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Big Picture
Today there will be lots of talk about the FOMC, but the chances of anything truly unexpected coming this afternoon are very low. This week, I have heard about a dozen people state that when we get an FOMC announcement the stock market goes up. I was wondering if part of yesterday’s strength could be attributed to that mindset. Remember when everyone is like minded, it may be time to go the other way.
We are beginning to hear grumblings of who may be appointed[...]
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Regardless of how you state it, VIX is low. Today VIX got as low as 9.04 which is the second lowest intraday low on record. The lowest print for VIX came on December 27, 1993 with a low of 8.89. I could waste a thousand more words describing how low VIX is relative to history, but instead of doing that I’d like to dive a bit into what it means.
VIX is low, but market volatility is low as well. What I mean by that is the realized volatility of the S&P 500 is[...]
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Other trades of note:
iPath S&P 500 VIX Futures ETN (VXX) at 10.99, a Bull Call Spread traded 5,888 times. The trader bought the Aug 18th 14.50/16.50 spread paying .07.
Time Warner Inc. (TWX) at 100.22, a Bull Call Spread traded 2,000 times. The trader bought the Oct 20th 100/105 spread paying 2.85. TWX is expected to report earnings on Wednesday, August 2nd before market open.
iShares Russell 2000 ETF (IWM) at 143.61, a Calendar Spread traded 1,250 times. The trader sold the Jul 28th[...]
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Big Picture
Today is the first day of a two-day FOMC meeting. As a gentle reminder, there are S&P 500 (SPX) options expiring on the close tomorrow which are perfect for expressing an opinion about the potential market reaction (or lack thereof) to the FOMC announcement tomorrow afternoon. Also, the earnings calendar is so heavy for the next three days it should be on a weight loss reality show.
Overnight / Pre-Market
Japanese stocks were slightly lower overnight. Both the EuroStoxx[...]
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Other trades of note by Lauren Ravalli
Facebook, Inc. (FB) at 165.29, a Bear Call Spread traded 9,200 times. The trader sold the Jul 28th 170/177.5 spread for a credit of 1.40. FB is expected to report earnings on Wednesday, July 26th after market close.
Russell 2000 Index (RUT) at 1,431.93, a Bull Put Spread traded 1,402 times. The trader sold the Aug 18th 1,280/1,250 spread for a credit of .30.
Starbucks Corporation (SBUX) at 58.18 a Long Straddle traded 1,000 times. The trader bought[...]
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Many market cynics of the quantitative easing (QE) program could not wait to pounce on the negatives of such a system. When the Fed implemented a few of these programs following the worst financial crisis since the Great Depression, many were dumbfounded and ridiculed the Fed for shoring up the banks and thus the stock market. Not only bringing rates down to zero but juicing up the bond market by adding what seemed to be unlimited bond purchases to their portfolio.
Many scoffed[...]
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A portfolio manager recently called me to discuss Mini-SPX (ticker XSP) options, and told me he is trading the XSP options and he liked several features about the XSP options, including the “no-early-call-away” feature, the tax treatment, the contract size, and the fact that the XSP options prices appeared to track pretty well the prices of the larger-sized options on the S&P 500® Index (ticker SPX).
GROWTH IN VOLUME FOR XSP OPTIONS
As shown in the chart below, the average[...]
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Big Picture
VIX finished the week last week just above the all-time low. There was a very large VIX spread trade using October options on Friday. More about that trade appeared in the VIX Weekend Review - Weekend Review of VIX Options and Futures 7/17/2017 - 7/21/2017
It is a huge week for earnings, over seventy companies with Weeklys available for trading report earnings. More about that below.
Also, Wednesday we get the release of information that will follow a two day[...]
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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.
Army Brigadier General Rings Opening Bell
On Wednesday, CBOE welcomed Army Brigadier General Ronald J. Place to the trading floor to ring the bell as part of the national “Meet Your Army” initiative. A video of the bell- ringing ceremony can be viewed here.
MiFID Ready
On Tuesday,[...]
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VIX finished the week just off all-time lows and the VXST - VIX - VXV - VXMT curve shifted lower. This is a result of realized volatility for S&P 500 price action remaining low and there not appearing to be any speed bumps on the horizon for the financial markets.
VVIX dipped below 80.00 to finish the week and TYVIX is near all-time lows despite there being an FOMC meeting this Wednesday. The long funds continue to suffer (discussed a little more shortly) and the short funds[...]
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Small and large cap index finished the week in what I will call a statistical tie up about 0.5%. For the year the Russell 1000 (RUI) is now up over 10% while the Russell 2000 has gained a respectable 5.8% in 2017. We are early in the 3rd quarter of the year, but so far RUI is up 1.98% versus RUT 1.45%.
With VIX so low the CBOE Russell 2000 Volatility (RVX) premium to VIX has popped up a bit. I’m attributing more to low VIX than high small cap volatility. It[...]
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VIX closed Friday a tad shy of an all-time low while the S&P 500 continues to push higher having gained just over ½ a percent last week. The curve below does appear steep, but the context of VIX being so low should be taken into account.
One trader came into the VIX pit mid-day on Friday with what could be considered a massive trade. With VIX at 9.76 and the standard October contract at 13.70 someone came in with a three-leg bullish trade on VIX. They sold 262,441 VIX[...]
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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[...]