• VIX | Trader Talk | Trade Ideas | Dec 16, 2017, 5:03 PM

    Weekend Review of VIX Futures and Options - 12/11/2017 - 12/15/2017

    Weekend Review of VIX Futures and Options - 12/11/2017 - 12/15/2017

    VIX worked its way lower Friday as the stock market rallied.  We have grown accustomed to VIX below 10.00 and settlements below 10.00 as well.  However, for the first time I can recall, we had a VIX futures contract close below 10.00 with the December future that expires next week settling at 9.925. Thursday, with VIX around 10.05 and the Dec 27th future at 10.65 someone came in and put on a bearish VIX trade using the Dec 27th Weekly options.  They sold 300 of the VIX Dec 27th 12[...]

  • VIX | Trader Talk | Trade Ideas | Dec 16, 2017, 2:44 PM

    Weekend Review of Russell 2000 Options and Volatility - 12/11/2017 - 12/15/2017

    Weekend Review of Russell 2000 Options and Volatility - 12/11/2017 - 12/15/2017

    Large and small cap stocks had a good week, thanks to a big rally on Friday.  The Russell 2000 (RUT) was up by 0.61% while the Russell 1000 (RUI) gained 0.89%.  The RUI performance for 2017 is approaching 17% while RUT is now lagging by just over 6.5%.  Both VIX and the Cboe Russell 2000 Volatility Index (RVX) were under pressure with equity market strength last week.  The RVX to VIX premium dropped some, but still remains at pretty high levels which has been the norm in 2017[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 15, 2017, 8:27 AM

    Volatility Based Indicator Discussion at RMC Asia

    Volatility Based Indicator Discussion at RMC Asia

    The second presentation on day one at Cboe RMC Asia paired John Hiatt, Director, Research/Quantitative Market Support at Cboe Global Markets with Tim Edwards, Senior Director of Index Investment Strategy at S&P Dow Jones Indices.  Their discussion focused on Interpreting and Navigating Volatility Based Benchmarks and Indicators.  John Hiatt started things off discussing the performance difference between at the money buy write and at the money put write indexes.  I’ve included[...]

  • VIX | Cboe Benchmark Indexes | Cboe RMC | Dec 12, 2017, 7:04 AM

    Cboe Benchmark Index Discussion at RMC Asia

    Cboe Benchmark Index Discussion at RMC Asia

    The opening presentation at the 3rd Annual Cboe RMC Asia matched Matt Moran up with Russell Rhoads (me) for a discussion covering Option Strategies and Option Strategy Benchmarks.  Matt and I both work in the Product Advancement area with Matt holding the title of Vice President and my title being Director.  I began things with a discussion of how different strategies are implemented.  This included an example of a cash secured put that replicated the transaction that would be dictated[...]

  • Bitcoin | Dec 11, 2017, 4:37 AM

    Hedging bitcoin with XBT Bitcoin Futures

    Hedging bitcoin with XBT Bitcoin Futures

    Last night, Cboe XBTSM Bitcoin Futures commenced trading on the Cboe Futures Exchange.  The launch was smooth, although our website experienced some issues due to an overwhelming number of hits looking for the trading data.  Now that the futures are up and running, it may be time for a brief explanation of how an owner of bitcoins may use futures to hedge their position.  The initial futures contracts that traded in Chicago were on crops such as corn or wheat.  Farmers could[...]

  • VIX | Trader Talk | Trade Ideas | Dec 10, 2017, 12:57 PM

    Weekend Review of Volatility Indexes and ETPs - 12/4/2017 - 12/8/2017

    Weekend Review of Volatility Indexes and ETPs - 12/4/2017 - 12/8/2017

    Stocks ended the week on a strong note and the result was S&P 500 related volatility indexes doing what they do in 2017 after even a slight move to the upside and lost value.  The curve shifted lower and back into contango. Again, VVIX remains a bit elevated, something that was pointed out a couple of times last week in Hong Kong at our Risk Management Conference.  Steve Sears also discusses the use of VIX options this weekend in his column noting the most common use is hedging. [...]

  • VIX | Trader Talk | Trade Ideas | Dec 9, 2017, 2:56 PM

    Weekend Review of Russell 2000 Options and Volatility - 12/4/2017 - 12/8/2017

    Weekend Review of Russell 2000 Options and Volatility - 12/4/2017 - 12/8/2017

    Large cap stocks had a solid week with the Russell 1000 (RUI) gaining 0.34% while small cap stocks were down by just over 1% as measured by the Russell 2000 (RUT).  RUT is now up just over 12% while RUI has had quite a year gaining over 18% for 2017. The Cboe Russell 2000 Volatility Index (RVX) remained as very elevated levels when compared to VIX as the market is pricing in a little more risk for small cap stocks relative to large cap stocks.  One trader decided the Russell 2000 will[...]

  • VIX | Trader Talk | Trade Ideas | Dec 9, 2017, 1:35 PM

    Weekend Review of VIX Futures and Options - 12/4/2017 - 12/8/2017

    Weekend Review of VIX Futures and Options - 12/4/2017 - 12/8/2017

    VIX and the curve has been in a sort of zig zag pattern over the past few weeks with there being a couple of head fakes to the upside followed by a drop back down to the 2017 norm.  The 2017 norm has been all time lows and at last check it will take an average VIX close over 32.00 between now and the end of the year for 2017 to not go down as the lowest average VIX close on record.  At least one trader would be very happy if something occurred to push VIX higher, but maybe not to the[...]

  • Dec 6, 2017, 12:00 PM

    Clicking on Cryptocurrencies

    Clicking on Cryptocurrencies

    I'm not normally a multitasker, but let me tell you, when procrastinating, I can really do it.  Last night, while doing some boring but necessary tasks on the right screen of my desktop and wanting some mental stimulation on the left screen to liven up my evening, I logged into my gemini.com account and starting clicking around.  First of all, anyone wanting to know how easy it is to trade bitcoin or ether may be assured that it could not be more streamlined.  I believe my cat could[...]

  • Dec 6, 2017, 9:11 AM

    Don't Trip Over the Dip

    Don't Trip Over the Dip

    Not sure what everyone else was thinking/doing/cursing about during Friday, December first's Big Dipper, but it just so happened that I had set up something I expected to be far less exciting than it turned out to be.  On what I thought was just another regular, normal, tired-bull-run morning where every day is approximately exactly like the one before, I had paid for expensive insurance so that I could play a little game and take my chances on picking up some goods.  I paid admission so[...]

  • VIX | Trader Talk | Trade Ideas | Dec 2, 2017, 7:50 PM

    Weekend Review of Volatility Indexes and ETPs - 11/27/2017 - 12/1/2017

    Weekend Review of Volatility Indexes and ETPs - 11/27/2017 - 12/1/2017

    S&P 500 volatility was higher across the four indexes that measure expected volatility over different time frames.  Keep an eye on the VIX3M to VIX relationship if VIX remains at higher levels.  VIX3M can be an early indicator for a rise in VIX. The long funds rose a bit with VMAX getting a big bump as the weighting is focused on a shorter time frame than the other unleveraged long funds.  Also note VVIX in the mid-90’s, like VIX3M VVIX can be a leading indicator of a higher[...]

  • VIX | Trader Talk | Trade Ideas | Dec 2, 2017, 7:38 PM

    Weekend Review of Russell 2000 Options and Volatility - 11/27/2017 - 12/1/2017

    Weekend Review of Russell 2000 Options and Volatility - 11/27/2017 - 12/1/2017

    Despite a rough patch for about 45 minutes on Friday broad based indexes had a good week.  Large caps were up 1.53% for the week when being measured by the Russell 1000 (RUI) while the small cap benchmark Russell 2000 (RUT) was higher by 1.24%. In the volatility space the relationship between the Cboe Russell 2000 Volatility Index (RVX) and VIX remained at pretty elevated levels, despite the rise in VIX last week.    On Friday we got a dip in broad based indexes as news came out[...]

  • VIX | Trader Talk | Trade Ideas | Dec 1, 2017, 9:07 PM

    Weekend Review of VIX Options and Futures - 11/27/2017 - 12/1/2017

    Weekend Review of VIX Options and Futures - 11/27/2017 - 12/1/2017

    VIX had a good week based on news out of Washington, DC.  This seems to be the only type of event that get VIX moving.  The December contract is still at a bit of a premium which may be taken as traders bracing for a little follow through.  On Friday, we got part three of a trade that was commenced back in July.  If you want some more history on this trade I wrote up the last rolling transaction back in September.  http://www.cboe.com/blogs/options-hub/2017/09/25/block-trade-analysis---vix-roll-trade The[...]

  • Bitcoin | Dec 1, 2017, 11:40 AM

    Cboe Bitcoin Futures Announcement

    Cboe Bitcoin Futures Announcement

    Cboe Global Markets (CBOE) announced today that the Cboe Futures Exchange (CFE) has filed a product certification with the Commodity Futures Trading Commission (CFTC) to offer bitcoin futures trading. The product certification is subject to regulatory review. The impending launch date for Cboe bitcoin futures, which will trade on CFE under the ticker symbol 'XBT', will be announced shortly. Conceptually, forwards or futures contracts have existed since the time of the Babylonian empire. Ancient[...]

  • Bitcoin | Cboe RMC | Nov 30, 2017, 12:52 AM

    Tyler and Cameron Winklevoss Discuss Bitcoin and Bitcoin Futures at FIA Asia

    Tyler and Cameron Winklevoss Discuss Bitcoin and Bitcoin Futures at FIA Asia

    Today at FIA Asia 2017 in Singapore Tyler and Cameron Winklevoss, the co-founders of Gemini Trust, participated in a discussion about the cryptocurrency space along with Yvonne Zhang from the Aquifer Institute.  The session, titled Cryptocurrencies 101, was moderated by Nick Solinger from FIA Tech.  One of the first points made was that electronic money transfers between countries often take longer than physically moving cash.  For example, if you wanted to transfer money from[...]