• VIX | Education | Sep 11, 2017, 9:16 AM

    New Developments in Options and Volatility Discussion at CBOE RMC Europe

    New Developments in Options and Volatility Discussion at CBOE RMC Europe

    The 6th Annual European version of CBOE’s Risk Management Conference kicked off with a presentation from Bill Speth, Vice President of Research and Product Development at CBOE and Tim Edwards, PhD, Senior Director of Index Investment Strategy for S&P Dow Jones Indices.  Tim kicked things off breaking down VIX in several ways and explaining what VIX tells us.  He referred to VIX as a crowd sourced projection of market volatility.  He noted that VIX is mean reverting and[...]

  • VIX | Trader Talk | Education | Aug 30, 2017, 12:31 PM

    ETH Liquidity Continues to Improve

    ETH Liquidity Continues to Improve

    CBOE’s Extended Trading Hours (ETH) offers trading in the Exchange’s flagship SPX, SPXW, and VIX® option products beginning at 8:00 a.m. London time.  CBOE made ETH available in March 2015 and has seen significant growth in 2017. Liquidity has continued to improve and has most recently dramatically increased with the entrance of two London-based dealers willing and able to commit capital to trades.  Average daily volume has jumped from 4,400 contracts in 2016 to 7,500[...]

  • VIX | Morning Call | Aug 1, 2017, 7:39 AM

    CBOE Morning Call 8/1/2017

    CBOE Morning Call 8/1/2017

    Big Picture About 3/4‘s of the companies in the S&P 500 that have already reported second quarter earnings beat their estimates.  This sounds impressive, but according the Bank of America Merrill Lynch the stock price reactions have been muted (despite the S&P 500 pushing the 2500 level).  Yesterday the Chicago PMI was lower than expectations, but Pending Home Sales was higher than expectations.  Nothing can go wrong if housing sales are strong, right?  We get[...]

  • Morning Call | Jul 31, 2017, 7:18 AM

    CBOE Morning Call 7/31/2017

    CBOE Morning Call 7/31/2017

    Big Picture There are over a hundred stocks with Weeklys reporting this week in what is probably the heaviest portion of the earnings calendar.  All eyes will be on AAPL’s report tomorrow after the close which as well as financials will probably give us some insight into product launches coming in the next few months.  The economic calendar is heavier this week than last week with Personal Income and ISM tomorrow, the ADP employment number Wednesday, Factory Orders and Services[...]

  • Morning Call | Jul 27, 2017, 6:28 AM

    CBOE Morning Call 7/27/2017

    CBOE Morning Call 7/27/2017

    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[...]

  • Morning Call | Jul 26, 2017, 6:58 AM

    CBOE Morning Call 7/26/2017

    CBOE Morning Call 7/26/2017

    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[...]

  • Morning Call | Jul 19, 2017, 7:37 AM

    CBOE Morning Call - 7/19/2017

    CBOE Morning Call - 7/19/2017

    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[...]

  • Morning Call | Jul 17, 2017, 8:09 AM

    CBOE Morning Call - 7/17/2017

    CBOE Morning Call - 7/17/2017

    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[...]

  • 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 10, 2017, 2:05 PM

    SPXW Weekly Options A.D.V. Rises above 500,000, as 3rd Friday SPXW Options Now Are Available

    SPXW Weekly Options A.D.V. Rises above 500,000, as 3rd Friday SPXW Options Now Are Available

    By Matt Moran This week I received inquiries about the trends in options volume. The large-sized SPXW Weekly options have successfully seen volume growth over each the past seven years. Key points about SPXW Weekly options include – VOLUME. Average daily volume (a.d.v.) in the first four months of 2017 was 500,964 contracts, (up 30% over the a.d.v. for the full year of 2016; see Exhibit 1 below); MANY EXPIRATIONS. SPXW Weeklys options have expirations on ten upcoming dates in May[...]

  • Trader Talk | Strategy | Trade Ideas | Apr 25, 2017, 9:23 AM

    Reviewing a SPX Option Day Trade from Monday

    Reviewing a SPX Option Day Trade from Monday

    I have a handful of former Options Institute students who like to keep me up on their trading.  Yesterday morning I got an email from one who decided to take the other side of the big move to the upside in the S&P 500 (SPX).  Just after the market open, when the SPX was at 2374, the trader sold the SPX Apr 24th 2370 Call for 6.40 and purchased the SPX Apr 24th 2380 Call for 1.45 and a net credit of 4.95.  These options are Monday Weeklys and they expired on the close yesterday. [...]

  • VIX | French Election | Apr 11, 2017, 7:43 PM

    How I Know the US Market is Waking Up to the French Election

    How I Know the US Market is Waking Up to the French Election

    I was discussing the current state of the markets with a trader today and noted that VIX is perking up based on the uncertainty surrounding the upcoming French election.  He challenged me on this and said the geopolitical situation had more to do with the recent rise in VIX, not the French election.  I know I’m right and the picture below proves it.  Above is a depiction of the at the money implied volatility for SPX options expiring each Monday, Wednesday, and Friday for the[...]

  • What's Trading | Apr 10, 2017, 1:18 PM

    What's Trading Today - SPX Broken Wing Butterfly

    What's Trading Today - SPX Broken Wing Butterfly

    Today’s What’s Trading episode was a discussion of a SPX Broken Wing Iron Butterfly expiring this coming Thursday April 13th.  Link to the video is below and after that some additional commentary about today's trade. Click Here for Today's Video The payoff diagram below shows the outcome if this trade is held through Thursday’s close.  Between 2345.60 and 2374.40 this trade makes a profit.  The payoff diagram below also highlights that the risk of loss is bigger[...]

  • Trader Talk | French Election | Mar 22, 2017, 6:13 PM

    Bearish SPX Spread Trade May Be Targeting French Election Volatility

    Bearish SPX Spread Trade May Be Targeting French Election Volatility

    I spent the day with my academic hat on at Ohio University in Athens discussing all things VIX, SPX, and RUT along with answering some questions about the Social Media indexes that are quoted by CBOE.  There were also some questions about the French Election and the potential impact on the US markets.  I noted that VSTOXX futures have been elevated in anticipation of the French election, but that there wasn’t too much going on in the US, yet.  Yet is the key word because as I[...]

  • Mar 10, 2017, 8:04 PM

    CBOE RMC Presentation: SPX Weeklys

    CBOE RMC Presentation:  SPX Weeklys

    Pravit Chintawongvanich from Macro Risk Advisors teamed up with RMC veteran Scott Maidel for a discussion titled SPX Weeklys:  Market Analysis and Long and Short Applications today at CBOE’s Risk Management Conference in Dana Point, CA.  Pravit’s presentation started out discussing event pricing of Weekly options.  He actually used Euro Stoxx 50 option premium differences before and after the pending French election.  This is a very timely example of how implied volatility[...]

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