RUT Archives - Cboe Blogs

  • Market News | Trader Talk | Jun 19, 2017, 10:03 AM

    FTSE Russell Reconstitution Completed this Friday

    FTSE Russell Reconstitution Completed this Friday

    This is a big week for the FTSE Russell suite of indexes.  On Friday, a large number of indexes will undergo what is referred to as the annual reconstitution.  Specifically, the final phase of this process will occur on the market close Friday as stocks move into or out of indexes.  The index we care most about at CBOE is the Russell 2000 which is the standard benchmark index for small cap managers in the US.  Also, RUT options are the 3rd most actively traded broad based index[...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | Jun 17, 2017, 1:56 PM

    Weekend Review of Russell 2000 Options and Volatility - 6/12/2017 - 6/16/2017

    Weekend Review of Russell 2000 Options and Volatility - 6/12/2017 - 6/16/2017

    Small cap stocks lost some of the recently gained ground relative to large cap stocks last week.   The Russell 2000 (RUT) was down over 1% while the large cap focused Russell 1000 (RUI) was up slightly.  The spread of RUI to RUT out performance for 2017 has now widened to almost 5%. Despite the tough week for small cap stocks the CBOE Russell 2000 Volatility Index (RVX) finished Friday at a 2017 low.  This lower relative level for RVX pushed the RVX to VIX ratio to the lowest[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jun 10, 2017, 6:31 PM

    Weekend Review of Russell 2000 Options and Volatility - 6/5/2017 - 6/9/2017

    Weekend Review of Russell 2000 Options and Volatility - 6/5/2017 - 6/9/2017

    Small cap stocks prevailed last week as the Russell 2000 (RUT) gained over 1% while the Russell 1000 (RUI) was lower by about 1/3 of 1%.  Large cap stocks still hold a lead over small caps in 2017, but the Russell 2000 has kept pace with the Russell 1000 since the end of the first quarter so all the large cap outperformance may be attributed to the first three months of 2017.  On the volatility front VIX and the CBOE Russell 2000 Volatility Index (RVX) rose last week, with the relative[...]

  • Market News | Trader Talk | Trade Ideas | Jun 4, 2017, 12:57 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/30/2017 - 6/2/2017

    Weekend Review of Russell 2000 Options and Volatility - 5/30/2017 - 6/2/2017

    Small caps had a nice week with the Russell 2000 (RUT) rising 1.67% while the Russell 1000 (RUI) was up 1.01%.  The large cap lead narrowed a bit, but the RUT still lags RUI by just over 5% year to date.  Continued low levels for VIX dominate the CBOE Russell 2000 (RVX) to VIX ratio which remains at historically high levels.  VIX under 10.00 and RVX over 15.00 results in a ratio in the mid- 50% range to end the week.   Mid-day Wednesday, with RUT around 1360 a bullish trade[...]

  • Market News | May 31, 2017, 8:14 PM

    June is Reconstruction Time for FTSE Russell Indexes

    June is Reconstruction Time for FTSE Russell Indexes

    When Memorial Day comes around most people start to think about their summer plans or how they are going to entertain their children until school starts back.  Of course I’m not like most people and when we enter June my thoughts are all about the Russell Reconstitution process.  Before joining CBOE I would monitor the reconstitution process and try to trade around stocks that were going to be added or deleted from the Russell 2000. Now as an employee of CBOE I monitor the process[...]

  • VIX | Trader Talk | Trade Ideas | May 27, 2017, 12:56 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/22/2017 - 5/26/2017

    Weekend Review of Russell 2000 Options and Volatility - 5/22/2017 - 5/26/2017

    Large cap dominance continued last week as the Russell 1000 (RUI) gained 1.41% last week outdoing the Russell 2000 (RUT) performance of 1.09%.  For the year RUI is just a little under 6% ahead of RUT. With VIX finishing the week below 10.00 the CBOE Russell 2000 Volatility Index (RVX) level relative to VIX is at high levels.  That is really more of a function of low volatility across the board, but continued underperformance of small caps is probably a contributing factor as well. [...]

  • Market News | VIX | Trader Talk | Strategy | Trade Ideas | May 20, 2017, 5:23 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/15/2017 to 5/19/2017

    Weekend Review of Russell 2000 Options and Volatility - 5/15/2017 to 5/19/2017

    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[...]

  • Market News | Strategy | May 15, 2017, 8:12 AM

    Volatility and Holidays Are An Opportunity to Sell Premium

    Volatility and Holidays Are An Opportunity to Sell Premium

    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[...]

  • May 13, 2017, 9:29 AM

    Weekend Review of Russell 2000 Options and Volatility - 5/8/2017 - 5/12/2017

    Weekend Review of Russell 2000 Options and Volatility - 5/8/2017 - 5/12/2017

    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[...]

  • VIX | Trader Talk | Trade Ideas | May 7, 2017, 7:24 PM

    Weekend Review of Russell 2000 Options and Volatility - 5/1/2017 - 5/5/2017

    Weekend Review of Russell 2000 Options and Volatility - 5/1/2017 - 5/5/2017

    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[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 29, 2017, 1:43 PM

    Weekend Review of Russell 2000 Options and Volatility - 4/24/2017 - 4/28/2017

    Weekend Review of Russell 2000 Options and Volatility - 4/24/2017 - 4/28/2017

    This past week was basically a tie between small and large cap stocks as the Russell 2000 (RUT) and Russell 1000 (RUI) were both up about 1.5%.  Four months into 2017 and RUI continues to maintain a lead of about 3.3% over RUT.  Last week VIX got smashed as did the CBOE Russell 2000 Volatility Index (RVX).  A return to the low end of the range resulted in the VIX / RVX relationship returning to higher levels.   With Weeklys available for trading all kinds of alternatives that[...]

  • Apr 24, 2017, 8:18 AM

    Weekend Review of Russell 2000 Options and Volatility - 4/17/2017 - 4/21/2017

    Weekend Review of Russell 2000 Options and Volatility - 4/17/2017 - 4/21/2017

    Small caps had a good week last week as the Russell 2000 (RUT) rose about 2.5% which places it up 1.67% for the year.  The large cap focused Russell 1000 (RUI) was up just under 1% and is not up 4.96% for 2017. VIX has worked higher as geopolitical risks have risen in the past couple of weeks and the Russell 2000 Volatility Index (RVX) has done the same.   The result is a lower RVX to VIX risk premium, with this measure actually closing at a 2017 low on Friday.   On Friday there[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Apr 9, 2017, 10:32 AM

    Weekend Review of Russell 2000 Options and Volatility - 4/3/2017 - 4/7/2017

    Weekend Review  of Russell 2000 Options and Volatility - 4/3/2017 - 4/7/2017

    An emerging theme in 2017 is that when stocks come under pressure the Russell 2000 (RUT) seems to take it on the chin a bit more than the Russell 1000 (RUI).  Last week the large cap focused RUI was lower by 0.33% while RUT lost just over 1.5%.  This widens the lead that RUI has on RUT to about 4.5% for 2017.  With small caps leading stocks lower the relative level of small cap volatility remains high compared to large cap volatility.  The best way to measure this is the CBOE[...]

  • Market News | Trader Talk | Trade Ideas | Apr 2, 2017, 10:42 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/27 - 3/30

    Weekend Review of Russell 2000 Options and Volatility - 3/27 - 3/30

    The first quarter of the 2017 performance race between the Russell 1000 (RUI) and Russell 2000 (RUT) came to close with large caps up 5.51% and the small cap focused RUT up 2.12%.  The consensus feeling is that RUT got a little too far ahead of RUI from election day through the end of 2016 and RUI was due for a bit of catching up.  The small cap versus large cap risk index is a good way to explain the chart below.  Small cap expected volatility is best represented by the CBOE Russell[...]

  • Mar 25, 2017, 11:20 AM

    Weekend Review of Russell 2000 Options and Volatility - 3/20 - 3/24

    Weekend Review of Russell 2000 Options and Volatility - 3/20 - 3/24

    Just when small cap stocks appeared to be making a move to narrow the gap in performance between the Russell 2000 (RUT) and the Russell 1000 (RUI) things have fallen apart with RUT losing 2.65% which places RUT slightly in the red for 2017.  RUI was under pressure as well losing 1.50%, but this index does remain in the positive by 4.50% year to date.  The spread between the Russell 2000 Volatility Index (RVX) and VIX reached the lowest level of the year when RUT started to make a bullish[...]